You're images aren't being deleted. The exclamation point indicates that the location that the image was moved from it's location at the time of import. Click on the exclamation point and you will see a message stating where the image was previously located.
I think you are misunderstanding the meaning of 'Import' which is pretty common with new users. Import does not actually put the images into Lightroom, it merely points Lr to where the images exist on your hard drive. If Lr loses track of those images you will get an exclamation mark. Lr will lose track of the images if you delete them, move them, or rename them outside of Lr.
Lightroom won't delete the pictures unless you specifiy the LR to delete.
Exclamation mark says that the file is not there in the previous location.
This may happen if we rename/move/delete the files and LR is unable to find the photos at that path.