Comments are intended to allow passing clarification, etc. on questions or answers. Quoting from the Help
Comments are temporary "Post-It" notes left on a question or answer. They can be up-voted (but not down-voted) and flagged, but do not generate reputation. There's no revision history, and when they are deleted they're gone for good.
Note the deleted part: comments (and indeed other content) can be removed not only by the original author but also by the moderators or SE staff. In particular, long threads of comments are not encouraged by the StackOverflow model and may be removed/reduced once they have done their job. (The back-end of the site automatically flags up any question with 20 or more comments.)
Questions and answers can be deleted manually or automatically. The latter happens to avoid a build-up of closed, unanswered questions with low views, so that searching the site will (hopefully) give useful data. This process is automated: I note one question from you that has been deleted by the back-end.
Most importantly, the aim of the site is to provide useful questions and answers not only for the original asker but for a wider audience. (The basic idea of 'not a forum, not a wiki, ...' is covered in https://tex.stackexchange.com/tour). All posts are therefore subject to the site license and may be edited/removed by others under defined conditions.
On comments, anyone posting them should work on the basis that they might be removed at some stage. Comments are quite deliberately not given the same status as Q/A content. They cannot be searched, they cannot be edited by others (wiki-like), they do not gain rep, etc. This is part of the site design and is intended to make the questions and answers the place where the 'value' is. Extended discussion works poorly in comments in any case, and is best handled in chat.
Note that the back-end retains all data posted to the site. Removal is carried out to keep the visible content focussed.