Some people are simply forgetful about objects, or small objects, or particular small objects. I think it's a matter of whether you've trained yourself to check for the object before leaving someplace.

I've never lost sunglasses, ever, not even as a small child. Nor keys, nor a cell phone, nor portable audio. Those were all as essential as shoes growing up in SoCal, except for the phone-- we had pagers back then. On the flip side, I lost a couple hundred dollars worth of umbrellas before giving up on the concept; I just wear a raincoat now. And as I don't think I've ever kept a pair of gloves for more than 72 hours, I buy coats with lined pockets.

If you're in the habit of losing electronics, stick to the cheap stuff. You can get a CD player and sunglasses for about $25 total at Wal-Mart these days.