Depending on the type of visa you have, losing your job could put you in violation of that visa. For instance, perhaps you applied for an H-1B employment visa. You do have to maintain employment, so if you get fired or laid off, it could mean that you have not upheld the terms of your visa.
This does not mean that you will be deported immediately, of course. But it may mean that you are out of status because you are technically in violation of the visa, and failure to rectify that status issue is what could eventually lead to your removal from the United States.
There is a grace period
The important thing to note about an H-1B visa is that it comes with a grace period. You typically have 60 days in which to find another job before you are counted as being out of status.
After all, the government does understand that people lose their jobs through no fault of their own. Perhaps you were offered a position with a company that went out of business after you arrived in the United States. Perhaps that company ran into financial issues and had to lay off a large number of employees, even though you had technically done an exemplary job working for the business.
In cases like this, it is not as if you have chosen to violate the terms of the visa. Rather, you are simply reacting to the things that are happening to you. The grace period gives you a chance to proactively address this by seeking other employment, protecting your livelihood and your ability to legally remain in the United States.
It is very important to understand the terms of your visa and what types of issues could make deportation a risk. You also need to know exactly what legal options you have while navigating these challenges.