You could be entering the wrong codes or inputting the wrong combination of codes or inputting one code when a cheat should take two. It could be a variety of reasons, so you may want to double check to see if you were being careful. Also, try turning the GS off and only turning it on when you need to use the code you want. Or just not using the GS at all and playing the game straight. *shrug* (Yes, I know that it's difficult to find someone to trade with, but still.)
And if none of that helps, it could help us if you told us exactly what you do up until that point. As in, what codes you intended on using, the steps you took to use the GS, et cetera. Different codes have different effects on different parts of the game, and different processes with different possible mistakes could make a huge difference. So, to say "my Key Items disappear when I use a code" really doesn't help us to get the idea of what you were trying to do.
