Could be several reasons.
The chain has not been correctly adjusted.
You have the wrong chain fitted
You have pinched the groove in the guide bar.
A chain will not generally come off because of lack of oil.
Incidentally if it is simply lack of adjustment then the previous answer is dangerously incorrect, in so much as the adjuster should be turned CLOCKWISE to take up chain slackness and NOT anti-clockwise.
I would certainly remove the chain and bar and inspect both for damage especially the bar groove and the guide teeth on the underside of the chain. Normally is a chain comes off it damages these guide teeth and these can stick in the guide bar groove thus causing a dangerous problem. If in doubt at all then change the chain for a new one.
pleasant
September 2008