Steps to reproduce:

1) Download attached project "SpaceDroid.zip" and open in Unity.
2) Open scene "Stage1".
3) In Lighting tab look if Auto Build is checked(see attached image "AutoBuild14.png") and wait until it finishes to build all lightmaps.
Note: 14 built lightmaps.
4) Press Play. In Game tab press MENU (button) >> YES (button). In "MainMenu" scene press New Game(button).
Note: built lightmaps gone in scene "Stage1" (see attached image "LightmapsGone.png").
5) Stop Play mode. Uncheck Auto Build, Clear Baked Data and press Build. Wait till it finishes.
Note: 14 built lightmaps.
6) Press Play. In Game tab press MENU (button) >> YES (button). In new scene press New Game(button)
Note: built lightmaps is in the scene "Stage1"(see attached image "Lightmaps.png").

Reproduced with:
5.2.4f1, 5.3.5p1, 5.4.0b20.