The bug was in Xarchiver, but I think it's related to thunar.

Steps to reproduce:
1. Download a big file in a directory (it must be downloading while you do the other steps)
2. In thunar, right click on an archive, "Extract in.."
3. Go in the directory of the step 1
4. Click on "Create directory"
5. You'll quickly have a textbox to edit the new directory name
6. When the downloading file is updated (size changes), the new directory will disappear

Notes:
- Downloading a file may be replaced by a shell script that writes a file in a loop
- I put the bug in Thunar because I thing the file picker is global, but I'm not totally sure
- It does not happen inside thunar because creating a directory opens a popup t set the name