Serenity Caldwell, writing at iMore, on how an iTunes bug may be to blame for a small set of users finding their iTunes music deleted:
Apple Music is not automatically deleting tracks out of your Mac’s library, nor is it trying to force you to stay subscribed to the service. In this instance, it appears that Apple Music is an unfortunate scapegoat: The real problem may be a bug with the subscription service’s container application, iTunes.
I don’t want to incite mass panic, here: This bug appears to have affected a very small number of users, and if you didn’t have local files disappear after updating to iTunes 12.3.3, your library is likely just fine. You can check to see if your library is locally-stored by turning on the iCloud Status and iCloud Download icons; if you’ve been affected, I suggest restoring from a backup or following Apple’s Support document.
I’ve harped on it before but here I am again: please make sure you have backups of your data. I highly recommend something local (like a secondary hard drive) and also an off site backup like Backblaze.