What model? How long is it rated to run? Did it run that long? If it didn't run as long as it was supposed to, consider contacting Cateye for a replacement or refund. Or maybe someone that knows batteries can give some suggestions on battery behavior.

Bummer it ran out on you, but I've found most USB taillights last for a very long time on one charge, due to the fact they don't need to put out the same power as a headlight. When commuting, I typically charge my taillights maybe once a week (twice if I make extra trips, or accidentally leave a light on for some reason), while I run headlights on high burn and charge them every two days or so.

Edit: oh yeah, missed the part about it being on steady. That's probably it. Check the list of burn times on this model: http://www.cateye.com/en/products/de...00-R/moreinfo/