Yes, they can come loose. So follow the suggested procedure and get it tight again. Numrich sells a tool for this purpose, but you can get away without one, if you are careful.
I will note that
BigBill and
22hipower have mentioned completely different situations. 22hipower's .44 Special revolver is old enough to have right hand threads on the extractor rod, whereas Bill's revolver has left hand threads. The former are much more likely to loosen than the later guns that have left hand threads. The right hand threaded rods come loose much more frequently as a response to recoil. That's why S&W changed the K and N frames to the reverse direction threads in the early 1960s.
Added: Hey, 22hipower, why yours comes loose in the safe is beyond explanation. "Gremlins" is as good a theory as any!