The game will not just randomly delete all of your maps, so it's possible you somehow have multiple osu! installations on your computer at the same time. Either that, or something else on your computer is deleting your files without your knowledge.
By default, osu!'s installation path is C:\Users\<Username>\AppData\Local\osu!. If that is not the location you were brought to when you hit the "open osu! folder" button, I would check there to see if you happen to have another install at that location.