Not sure which application you are referring to, but...

If you were to be using an application such as Dynamix AX from MS, you either create the indexes from within the management app for AX (as well as create tables and silly things like that). If you don't, then when there is a code release you run the chance of your indexes being dropped.

That said, the way around that is to have a post deployment script to verify the indexes are still in place and to recreate them if not present. I'm not a fan of that kind of stuff but it is something that is real and must be dealt with.