Just as the title says;
I take damage every time I switch maps or move areas, anything with loading screens. It doesn't matter if my HP is full or not, it always goes down to something like 80%. As a Myrmidon, I'd use Gamble and get the amplification, my HP would go down at around 80% of my original HP, not the amplified one. Meaning, I'd be taking greater damage during map transitions.
What's causing it? I'm not sure at the moment but it's been pretty consistent since the day I created my character. I initially thought it was because of the Dragon Lord's Blessing buff, since my HP is always multiplied by twice its amount before level 41. Turns out something still mysteriously attacks me in between loading screens.
Question about where or which map or area? It can happen anywhere as far as I know. Even in towns. This is most prevalent in Mission Modes, when I need my HP the most during boss fights, it gets damaged for unknown reasons.
Screenshots won't really do this one justice. I'll take a video of it when I get the chance.