Bungie is currently working on a fix for Destiny that would finally allow Guardians to keep their rightfully-earned heavy weapon ammunition.
The bug Bungie has been tracking for some time has caused players to lose Heavy Ammo during PVE activities across a number of scenarios, which includes dying, returning to orbit, or encountering a cutscene. Bungie engineers have identified what has been causing this issue and are currently working on finalizing a solution.
The reason why it’s taking Bungie so long to patch the game for this particular bug is due to its high risk factor as it involves a lot more than we may be aware of. “The basic flaw here is an ordering problem," Bungie sandbox engineer Jon Cable shares on the company’s developer blog. "Our inventory system creates your weapons when your characters spawn. When that happens, it tries to restore the same fraction of ammo that you had when you died. The bug occurred because the weapon is created before capacity modifiers from armor perks are applied, so the persisted fraction yields fewer rounds.”
If that makes absolutely no sense to you, just know that Bungie is working on a fix and you should just be patient for whenever it's released.