Why are my Heroes back at Mount Olympus?

When another player successfully attacks you a certain number of times, you will lose one of your defended islands. A Hero which is defending an island is automatically returned to Mount Olympus when his island is lost. The Hero which is sent back is chosen randomly, but Heroes with a low level are more likely to return to Mount Olympus in comparison to Heroes with a high level.

This will happen less often if you build a strong defense.