It sounds like you have annual ratings recalculation turned on - that will check to see if the player was active in (or after) the new season, and, if he wasn't, will retire him. To keep custom players for more than a season in a historical, you would need to either play with the "Use FHM development and retirement engine" option turned on, or un-retire him every July 1 (using commissioner mode) and move him back to his team.
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