I also encountered this problem but in Ubuntu 14.04.3: right-click on desktop>change desktop settings>add own image using + and "span" it across my two monitors. After logging out, then logging in again, I saw that the background was saved but not after restarting the computer.
I'm new in using Ubuntu but somehow know a bit about Linux and was able to set my first Ubuntu install yesterday (after deciding to leave Windows).
So, here's my guess: my wallpaper is not being found when I login because the image is in an internal hard disk drive that is probably not mounted upon login.
I copied my wallpaper from the unmounted HDD to somewhere inside my home folder (e.g.
~\Pictures\wallpapers\image.jpg) and set this image as my desktop background, and my problem was solved.
I hope this helps someone similar to my case. This is my first time posting in Ask Ubuntu, so I hope I'm not violating some rules such as necromancy. ^_^