On my utility bike - that I was swapping pedals on quite a bit (I did not have enough pedals for all my bikes!), sometimes one of the pedals would do that. I'm not totally sure why - and it was stolen, so I'll never find out..... It was always the same side, so I think it was from a combination of not tightening it down all of the way and some thread stripping - but they are supposed to be threaded so that pedaling motion actually screws them on, not off!