Yes, as [MENTION=391685]Andrew R[/MENTION] Stewart mentions, you need to check the threads on the steer tube for damage.

When you ride with a loose headset, the threaded cup rocks back and forth a little on the threads, eventually eroding them away until there's not enough left to hold the cup in adjustment. If that is what happened to your fork, you have essentially two options: 1) replace the fork, or 2) melt brass into the damaged area and cut new threads into the brass. Brass threads aren't as strong as steel threads, but as long as you're careful to keep it properly adjusted you should be able to get many more years of service.