I've read a bunch of stories about the loyalty of some Roman slaves. Some will take up arms and fight with their master. Some will continue to carry out duties after their master dies. Some will commit suicide after their master dies, or commit suicide at the same time!
The same reason some slaves in the American South were so loyal to their masters: they very well may have been very kind masters who helped them out and saw to their needs, so the slaves felt a legitimate feeling of loyalty to them.
Also, the Roman Patronage system ensured that, upon being freed by their master (as an overwhelmingly large number of Roman slaves were), the slaves would be provided for as clientes by their patron, their former master, so their well-being was often very closely tied to their master, even after their manumission.