I know of only one way that this can happen in windows, and has nothing to do with Steam other than their not-so-great decision to install all content into Program Files.
If you are on Windows 7 or Windows Vista, and you have UAC set to ON, then change it later to OFF, this can happen.
UAC does thing evil thing where if a program tries to write to a "protected" area like Program Files, EVEN IF YOU ARE ADMINISTRATOR, when you get a UAC prompt and give permission, it actually writes any files that would normally go into that directory into a "virtualized" directory somewhere else.
If you turn off UAC, that will no longer happen, and as an awesome bonus, it will no longer know about the files that it virtualized.
So in your case, if you had UAC on, installed a ton of games, then later got sick of UAC and turned it off, this would happen as you described.
See the second paragraph in "Features" in the article on User Account Control.
If you have done this and turn on UAC again, your content will come back, but be a TOTAL mess because if you've downloaded more stuff with UAC off, then that will be invisible when you turn UAC on, and vice versa.
this drove me a little crazy once before I realized what was happening.
i'm curious to know if this is your issue.
From helping others on Steam support forums and their result from following my suggestion, I have concluded the following as the cause:
Steam exits in an un-friendly way, thus not syncing your shortcuts with the cloud. This can occur when you let it (Steam) close by itself when shutting down/restarting your computer, Steam basically force closes, it does not close gracefully.
The main reason this is the cause is because Steam syncs your shortcuts with the cloud, but in order to do this it must shut down "gracefully". This means you have to shutdown Steam by doing:
Steam > Exit or Right-Click on Steam Icon Taskbar > Exit
Either of those will allow Steam to sync with the cloud if necessary.
Others say it is due to corruption of a local file, but it can be fixed by doing what I have suggested above. There hasn't been an official response from Steam on this issue, so it's just a logical guess based on past experiences of myself and others.
Best Answer
The only thing you could really do here is to contact steam support. This is an application level bug, this isn't something to do with your own PC or your installation.