Ive had the same thing happen with the kind I am currently using. In the past, the ear buds I used were shaped so they hung in the ear and didn't rely on a "friction" fit to hold them in (they have to be shoved into the ear canal deeper than what is comfortable for me in order to not fall out every few minutes). Unfortunately it seems that ear bud design is going more towards the friction kind and the more comfortable kind are dying out.
The older design that works properly:

The new design that is more prevalent now:

Notice that the top picture has a hard plastic piece that stabilizes the speaker in the ear and the second picture doesn't. If the second picture is what you have; your choice is either shove them in deeper and try to ignore the discomfort caused by a large piece of plastic deforming your ear canal or do some shopping around and find the kind from the top picture. I have had some success making the ear buds in the second picture stay in the ear if I remove the "soft" rubber sleeves entirely; they are still uncomfortable, but the stay in at least.