Only happened to me once on my 360.
Completed Gears of War in 2007 and started the game again on a higher difficulty to get the achievement and stopped at the 2nd chapter I think.
In 2009 I wanted to continue and every other level in the level select menu was locked with the exception of the one I stopped playing in the second chapter (guess the autosave still worked)
Anyway I can't remember any details but corrupt save files or accidentally deleted save files happened very often to me on my PC.