The default in-memory cache of Mondrian stores things in a WeakHashMap. This means that it could be cleared at the discretion of the JVM's garbage collector. Most application servers are setup to do a periodical sweep of garbage collection (usually each hour or so). You have to either tweak your JVM's configuration to not do this.
-Dsun.rmi.dgc.client.gcInterval=3600000 -Dsun.rmi.dgc.server.gcInterval=3600000
You can also implement your own cache implementation of the SegmentCache SPI. If your implementation uses hard references, they will never be collected. This is trickier to do and will require you to do quite a bit of studying to get it right. You can start by taking a look at the default implementation and start from there.