Why did my Pokémon Gold save disappear?

Because the battery died, and in Generation II the save file lives on that battery. Gold and Silver store the game in SRAM, memory that only holds its contents while power flows, and the same battery that preserves the save also runs the real-time clock. When the battery, a CR2025 or CR2032 cell, finally empties, the current save file is erased and the clock resets with it.

The warning signs arrive first. The clock is the heavier drain, so a dying battery usually shows itself as a game that can no longer keep time, flashing TIME NOT SET on the title screen before the save itself fails.

This is the defining physical fact of second-generation collecting. Every Gold, Silver and Crystal cartridge is a save file on a countdown, and the standard preservation move, backing up the save and soldering in a fresh battery, is routine surgery in the retro community rather than a modification. Original batteries from 1999 and 2000 are now a quarter-century old; survivors are the exception.

Later generations changed the design, moving saves to flash memory and letting the battery run only clock events. Generation II never got that mercy, which is why its cartridges are the ones collectors open first.