There are at least (3) possibilities;
1) Too much load at some point for your steppers
2) A problem going thru resonance of the stepper
3) Driver DC voltage too low
4) Maybe you have some interference.
5) Is your accel too high???
One approach would be to disconnect your motors from the machine and see if you still lose steps. You need some sort of indicator on your affected motor to detect lost steps. This eliminates the machine aspects from the motors.