Is the actor in the world? Is the player controller attached to it? If you unload a world the actor is attached to, it may get destroyed; if you do this, make sure the player is part of the top-level persistent world.
If that’s not the problem, the next thing you have to do is to override the destroy method in your actor, and put a breakpoint on it, and figure out who calls it. In general, objects don’t just get “randomly” destroyed.