you have an array of reasons to explain the phenomena.
firstly, you have to establish the identity of the substance. if you can't identify the substance, then you must determine the mode which mass is lost.
radioactivity can be detected if the mass loss occurs through radioactive decay.
if the substance loose mass by loosing water or evaporation, put the substance inside an air-tight container. Over time, the total mass of the container and the substance inside should not change because nothing escape.