Changing Themes in Wordpress empties all widgets

I just switched themes (activated the twenty-eleven theme in the process of finding a bug) then switched back to the other theme (not a wpmu theme in this case) and all of my widgets emptied out of the sidebars into Inactive Widgets, my Primary Menu was deselected too. (The menu setup was still all there, but needed to be selected again.)

I guess I haven't deactivate/re-activated a theme in a while, but I don't remember this happening. I just read grumblings about this here" Can somebody have a quick read over that thread and explain this to me?