I have this same issue on only one of my sites. It’s up to 2.8.4. I activate a custom theme and it looks like it’s working fine. I’m logged in. I come back some time later and, still logged in, it’s back to the default theme. I have changed nothing. I have multiple sites set up and running fine.
This is the only one with a problem. It doesn’t happen right away. There is no theme related plug in. The theme page still shows the custom theme as the activated theme. I’ve tried it with multiple themes that I’ve used successfully on other sites. The plug ins are ones that I use on multiple other sites also, nothing out of the ordinary.