This can happen for multiple reasons:

* You saved your .wrk or .cwp files to a floppy disc or other non-local non-hard drive on the system. You then ran Clean Audio Disk.
* You deleted the folder marked Wave Data.
Note that all of the audio data for a song is saved in the Wave Data folder in Cakewalk. Therefore, saving a .wrk or .cwp file to a disk will not back up the audio. To save the audio and .wrk/.cwp file, you need to Save As a Bundle File. These files are very large and will only fit on a Zip, Jaz, or CD. The Clean Audio Disk function searches the hard drive for .wrk/.cwp files and their associated .wav files. If it finds .wav files and no matching .wrk on the system, it will delete them.
* You moved your Wave Data directory but did not change your settings under Options > Audio > Advanced > Data Directory.

If you do not believe that you deleted your audio, you can use the Cakewalk Audio Finder to try to locate the missing .wav files.