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Hi @cleomills89
This is because of connection problems with facebook.
In it's most recent update facebook added new measures to stop viruses spreading (like those you get via messenger) but it has also affected game data. Facebook will block the data and the game is unable to save your progress.
It can help to clear your cache often and to log your game out then in again to facebook.
Also, if you are playing on computer try using a different browser than you usually do.
If you play on a mobile device or the Windows 10 app you can log out of facebook completely and play logged in via email so King saves your data instead - there are no problems at all with this way of playing!