I did a photo shoot and shot everything in B&W but when I loaded the photos in to LR they all changed to color.  Does anyone know why this happen or how I can stop it from happening?

I've had this happen too.  I think it has something to do with the way the editing software reads the EXIF or RAW data.  If I open the same image in the camera maker's software, it is B&W.  Others might be right or not and you would likely have to tell the software to make it B&W if it refuses to read the RAW as you set it.

If you set your camera to b&w and shoot raw - your raw files still contain the full color and LR reads the raw data, not the JPG preview built in the raw file. You may have looked at b&w jpg previews on your camera LCD but that works against quality because in this way you are unable to ETTR correctly (unless you use ML).

As GRMACK suggested: If you want to see what you have seen on your camera LCD - use your camera manufacturer's raw converter. It will most likely have similar preset as in your camera menu. And if you look at your real raw data in a software like FastRawViewer you will see that it is most likely underexposed due to the improper way of shooting. It is always better to expose properly and do the color effects in post (on your computer).

Thanks for this info!  I never knew

What Anchev said. If you really must have the camera deliver b&w for some reason, you must shoot jpegs only. The problem is that doing so forfeits all control over tonal rendering. Thus if you need to adjust the tonal difference between two colors, you can’t do it in post unless you do the b&w conversation in post. Classic example is red apples on a tree with green leaves. Straight desaturation the apples and leaves come out the same shade of gray.

Lightroom didn't change the images to color and you didn't actually shoot in B&W. The sensor can only record color data and that is what Lightroom was showing you. That raw data can either get converted to B&W in camera for the JPG or after the fact in post. The B&W image can only have 256 shades from pure black to pure white, so it is almost always better to start with the color image and make all exposure and tonal corrections first, then convert to B&W, where you can control how that color information is interpreted. If you start with the greyscale JPG that the camera produces and then apply any significant adjustments you are at much greater risk of banding and other artifacts.