Flash Memory Issues

Hello,

I am able to download the code into the Flash memory of ADSP-CM408F chip using Seggar J Tag communication link.

I used 1 demo example of Push Button Led. I am able to make the LEDs on by using respective push button.

Now, when I remove the Jtag, the code functions properly. 

But when i restart the micro controller (at this time J tag is not connected , (even if connected no change in answer)), the code is gone and i am not able to light up the led using push button.

Any specific reason for this?