I had the Devil's Horns disappear on me last night. I was using it plus the Heavy Metal chaingun in a co-op mission, then answered an invite to another co-op.
When I arrived at that mission my guns had disappeared and had been replaced with the guns from a different save I had made for my son. Weirdly enough my inventory had not changed, but I had to rebuild the chaingun.
Now the Devil's Horns aren't available in ANY version of the game apart from Classic, which is a disappointment. I was able to use it only for a day in co-op.