What would cause a pedal to loosen from its spindle while riding? I recently serviced an old pair of Wellgo platform pedals. They were already old and well-used by the time I got them, and they were slightly too loose, but useable. I rode on them for a few months before the slight rattle finally got on my nerves and I serviced them according to Sheldon's instructions on pedal maintenance. New loose bearings and plenty of grease.
Fast forward. A week or two ago I noticed the drive side pedal was loosening again. It didn't seem bad, so I put it on my mental bikes-todo.txt and continued on my merry way. Suffice it to say that I put off the repair job just one ride too long, and I ended up finishing yesterday's ride on foot. Whoops. It was dark outside, so I couldn't really tell what was going on until I got home and discovered that I had a pedal and a spindle, but no bearing cone, locknut, or dust cap - they are now flotsam on the side of the road somewhere.
So what happened? My best guess is that some part of the pedal assembly was greased too well or not well enough, causing the locknut to unscrew a tiny bit with every turn of the cranks. I followed the same process with both pedals, and the non-drive pedal has not loosened at all. What is the most likely culprit for this kind of adjustment issue, so I can be more careful with it next time I service pedals like these?
Sounds like you'd lost the locknut, allowing the outside cone to back off slowly, then walk right out the end pushing the dust cap with it and freeing all the ball bearings.  Perhaps you didn't tighten the locknut against the conenut and they moved as a unit?  Mismatched balls can push on the cone too, specially if there's spalling or pitting developing already.
Another less-likely possibility is that the cone nut was too tight against the balls, and they manually unwound the cone nut as you rode.  However this would be a tight feeling, not a loose feeling.
Given the cone nut is lost, its going to be less work to find a pair of replacement pedals, grease the threads, and fit them to the correct cranks.  This will get you riding again.
You might choose to save the old pedal remains as spares, or recycle them in some way.