You were running Live CD, so removing that CD means, you were telling your computer to run Ubuntu from nothing!!!, which your computer simply can't. It needs the data from the Live CD.
This situation is somewhat similar to removing Windows installation disk while installation is running. Of course, the installation will be stopped or hanged.
More technically, the contents of Live CD's are not fully mapped or loaded into the RAM or Main memory (which you may have been assuming). The contents are loaded into memory as per requirements. For example, Gparted program will not load into the memory until you start it from the Live CD. This type of loading is called dynaming loading and is considered very essential.
I suggest you to save the downloaded iso file in another directoy in your PC or in the USB drive. (If you are using Live Ubuntu from USB and your USB has more space, you can save the iso file in that USB drive too. Though you need to be root to copy it)
Then transfer the file in another PC to burn the CD or if you have Windows, burn the CD with windows tools.