I was playing Co-op with my friend and I took the shovel you find in the graveyard. I started to dig up some graves and noticed my shield wasn't equipped anymore. I had to equip it after every grave I dug up, iv'e reproduced this a number of times. I'm not sure if it makes a difference but, i was playing a battle mage when the events occurred.
I think it's because the shovel is two-handed, and the game decides to temporarily unequip your gear when you use the shovel, and forgets to put the shield back.