The miniaturization and wearing comfort of hearing aid devices increasingly runs the risks of a hearing aid device worn on or in the ear of a user getting lost without user realizing. The invention relates to a hearing aid device system comprising a first and a second hearing aid device which is worn on the head or body of a user to provide an electronic loss protection system which is reliable and easily manageable for a user. The first hearing aid device controls a presence of a radio link and/or a signal level of a signal sent from the second hearing aid device and received in the first hearing aid device. If the radio link breaks or the signal level drops below a threshold value, an information signal is generated by the first hearing aid device to inform the user of the loss of the second hearing aid device.