The Battlefield Website (thanks Planet Battlefield and Ant) has word that EA/DICE is aware of disconnect issues with the newly released Battlefield 2142 demo, and is searching for solutions. They also mention that the demo was such a svelte 1106 MB download due to the exclusion of 33 MB worth of DirectX installers, so a DX installation is necessary for anyone who doesn't have it yet. Here's word on the disconnects:

We are aware that some players are experiencing disconnects while playing the Demo. Please know we are running checks and making enhancements to our support systems so that these disconnects can be solved as quickly as possible.