What Would Make A Baby Chick Lose It's Tail Feathers?

Sometimes its caused by mites, or it could be as simple as losing them so its real feathers can come in. Depends how old it is.

I don't know that you will find an answer to this question.  You don't know the history of these chicks.  Perhaps there was an injury prior to your possession.  If the chick (what kind of bird?) is otherwise healthy and acting like the other chicks, I wouldn't worry about it.  Just keep on doing all the things you know to do to keep it as healthy as you can.

I agree with above comment. We don't know what type of bird it is etc. What it also could be though is that another chick (maybe older) is picking on it. Injury (as mentioned Above) is also a possibility. It might also be scared.
Maybe keep an eye on them without interfering with with the cage (or whatever you are holding them in), monitor their behavior. Maybe u will pick up what is going on.

I'm trying to raise a baby bird who's parents were killed.  It's about 2 months old and all the tail feathers fell out.  The bird is a black-capped chickadee.  I don't have an answer but I'm looking for one!