I had my car serviced and the front driver side wheel almost came off before I got home. It made a severe shaking and two of the lug nut came out. I later back tracked and found them but they had lubricant on them.
There are several schools of thought on that, but most often, the manufacturers do not recommend lubricating the wheel nuts. Here is a link to an article about installing wheel nuts Some technicians and tire stores are careless about tightening the wheels and simply run them up with an impact without a second thought. Most modern cars use soft alloy wheels now, so overtightening the lugs can really make a mess of things. As for the lubricant on your wheel lugs, It probably didn’t cause the nuts to work loose, more likely the wheel was not properly tightened. If no other damage was done, You can just retighten your wheels there on the spot. If you want you can take them out one at a time and wipe off the lubricant, but I doubt that will cause you a problem if the nuts are tightened correctly. You should however, notify the shop that you had a problem. The technician will likely be mortified, but will want to know about it nevertheless. If you would like to have the wheels inspected and tightened there at your home, you can contact Your Mechanic to have a technician come out and take care of it for you.