MacOS – Favorites disappears from sidebar in Finder

I was having the same issue and here's what just worked for me:

Hold command, then drag it off the Favorites bar. The item will turn into a little "poof" white cloud and when you release, it'll go away! Finally!

If the disk/share isn't mounted, the favorite is removed from the sidebar. If you want to keep favorites to network shares, removable disks, or files in disk images, there is a workaround.

Create a new folder named "Remote Favorites". This can be anywhere on your local disk (Home folder, Documents, etc) Drag the Remote Favorites folder to your sidebar Add aliases of the remote file/folder into the Remote Favorites folder. (hold option+command while dragging the source file)

The Remote Favorites folder is local so it won't disappear from your Sidebar. Now when you need to get to one of these remote files, open the Remote Favorites folder and double click the alias of the remote file.

Another benefit of using aliases is that if the network share or disk image isn't mounted, it will automatically mount it first.