They tend to do that. My last game I fought a war for some coal, and then about 6 turns after I linked to it "POOF" all gone.
If you check out the editor you can see there is something there about resources and what are the chances for them to disappear, some like coal go quickly, others like horses don't go at all.
If it is any consolation, I think that the resources reappear somewhere else on the map after you lose them, so therefore the number of coal on a map is always constant.
In other words your rivals are probably enjoying your iron.