No problems with the Cygolite Hotshot 50 on the Serfas Speed Bag light clip. It's relatively lightweight so there isn't much mass to toss it loose. And it runs for a long time per charge. For daylight use you'd want the more powerful Hotshots.

The Blackburn 2'Fer clip holds securely too. It has multiple nibs and hooks to help retain it on various size straps. Doesn't run nearly as long per charge as the Cygolite Hotshot. I use it as a helmet light.

Not secure: The Planet Bike Rack Blinky 5. Popped loose first ride. Good light for the money but secure only on the provided mount. The weight of a pair of AAA batteries is too much for a fabric loop.