On my last project, although I don't have an automatic tool changer, a similar situation happened. I was using a 1/2 mill and it came out of the collet and flung to the side of the CNC. I was just lucky it didn't hit me. At first I thought I forgot to tighten the nut, but then it happened again, but not completely flying out. Now thinking it was the collet, it continued to slip out after changing it. It turned out that the nut, by going to deep and riding against the material got hot and weakened the snap spring that holds the collet in place...it wouldn't clamp tight enough to hold the mill tight. I replaced the nut and how everything is tight again.