One of my friends has this issue with hers and this is how she solved it. Hopefully I can explain it in a way that makes sense.
Normally when you thread your machine you bring the thread up through the tension discs and then along the right side of the arm, through the loop at the end of the arm and down the left side to continue through the little loops before you get to the needle. What she does is after she brings the thread through the tension discs she crosses the thread over the arm and goes from left to right through the hook at the top of the arm and then continues down through the loops to the needle. This doesn't affect the tension on the thread so sewing is fine but having the thread in essence cross over itself at the loop keeps it from coming out. I believe she got this idea from her dealer.
I have a Janome 8900 and have never had this problem but you are not alone in this happening on your model.