Alan,
If you are sure it was tight I would ask Milenco why/how it could come off - I have the Grand Aero version and they have always remained tight - one thought, on mine there is a rubber foot that is part of the clamp, as this appears detachable, is it possible that it was missing before you tightened up, if it was then you would have just a hard plastic clamp that might 'slip' against your door mirrors plastic?
I perhaps tighten mine up too much, I worry that I might crack my door mirror surround - but as the clamp spreads the load probably not and they remain steady at the legal maximum speed.
Jon