I need to know why this problem arises.
Depending on how exactly you perform the copy operation, Windows will either copy the files, move them or create shortcuts pointing to the originals.
If you accidentally create shortcuts that point to files on a USB drive and then remove that USB drive. The desktop files will appear OK but you will not be able to access the files on the removed USB drive that the shortcuts point to.
So, pay attention to exactly how you perform the copy.
In Windows 8.1 and Windows RT 8.1, you can pin Windows Store apps and desktop applications to the taskbar for quick access. You can also create shortcuts on the desktop for the desktop applications, folders and files you often use.
... which may not be what you intended but can happen if you are not careful