Is the wallpaper you're using on the SD card and it might be changing to a default one in internal memory? If so, try moving the image you want to internal memory.
If you're using a wallpaper app, make sure that it doesn't have a randomizing option for wallpapers and might be changing it for you after a set period of time. Also, some 'video' wallpapers tend to crash so if that happens, the phone will revert back to a default wallpaper.