Yes it can happen! I lost one while riding my Waterford track bike on the road this AM. I tightened the remaining front nut with my Peanut wrench and was careful riding home, esp on the descents.
So make sure to tighten or check yours before a ride as having a front wheel come off while riding can make for a bad day. Losing a rear one will leave you stranded but you won't crash.
I am going to order 2 so as to have a spare which I will tape to my Campy wrench.
I had to put on my clincher wheelset until the replacement nuts arrive.
Be warned and be safe! Gerry