I have the same problem in 2008. I never used to but I re-installed it recently and this started happening.
Have you found anything yet?
Maybe the autoclose proeprty is disconnecting you?
I know on all express versions, you have to pay special attention to the autoclose property, which is ON by default in order to conserve resources.
if you are connected to any of the databases with that proerty =true, it might be the issue:
SELECT * FROM sys.databases where is_auto_close_on = 1
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