Isn't so much the wheel getting loose as the wheel coming apart. It happens, and usually without much warning. It makes for a bad day.
Always wear eye protection. I have never worn a mask, at least not while sharping a chain.
Ran across this and since I'm a machinist by trade I can't help but try to drive home the point about wheels coming apart being a bad day. A fellow I used to work with had a nasty scar up most of of one of his forearms and partially up his bicep. There was another on his neck, right about where the jugular vein is. One night everyone was sitting around trading stories on break and it turned out that a grinding wheel had exploded on him. Part of the wheel rolled it's way up his arm and tore into his neck. The doc told him that it missed his jugular by about a millimeter.
Any time you're going to mount a wheel on a grinder, ring test it first. Put a pencil through the arbor hole, hold the wheel up via the pencil, and tap the wheel near the edge with a screwdriver handle, wooden hammer handle, etc.. You should hear a clear ringing sound from the wheel, almost like hitting a tuning fork. If you hear a "thunk" instead of the ring, break the wheel with a hammer(or concrete floor) and throw it in the trash. That sound means it's cracked or otherwise defective and liable to come apart when running.