Kodi won’t play movies from my USB stick

I have a Kodi box version 5.1 and I’ve been downloading to my USB stick a few movies.
Every time I connect the USB stick to my Kodi box, all of my movies are gone. It finds my USB stick, but when I click to open the movie folder, there’s nothing there.
Then, when I connect the USB to my PC, they’re still gone. It’s as if the Kodi box is deleting my movies.
I’ve also tried with a few other sticks I own and it does this every time.
What can I do so it will stop deleting my movies as I plug my USB to the Kodi box?
Thanks in advance!