Enemies can not disarm you...
There are three weapon set hotkeys in the PC version (F1-F3). I'm not sure how they work, but could you have accidentally hit one of these keys, and switched to an empty set?
With the Xbox version you can equips weapon(s) and a shield in your hands and equip a ranged weapon; the game automatically switches back an forth depending on whether you use a melee or ranged attack button/skill.
