Note that Apple changes the default wallpapers with nearly every major version of iOS (example iOS 8 to iOS 9). If you had a wallpaper assigned that was available with iOS 8, then updated to say, iOS 9, then changed the wallpaper, the wallpaper that you previously had assigned under iOS 8 would no longer be available under iOS 9. This is assuming that Apple replaced that wallpaper with the new iOS version.
The only way to retain the previously assigned wallpaper is to never change it. Once you do after you've updated iOS, there's a very good chance that the wallpaper you once had been using has been replaced with something different & is no longer available to you to assign.