It seems on Nokia E71, the alarm settings are lost when an alarm is activated while the mobile is turned off.
The sequence which i followed was.
# set an alarm with time = current time + 5 mins
# switched off the mobile
# When the alarm time reaches the alarm goes on and asks "if we want to turn on the phone"; select 'no'.
[My opinion is that at this stage it should just inform the user that the phone is switched off, rather than giving an option to turn on the phone.]
# turn on the phone and go to Menu_office_clock and check the previous alarm settings. All of them would be deleted. I saw the same error in E72 and E63.