i had same sorta incident but the wheel never actually came off
i got a defect on my car so i changed my rims over to the stockies
well my dad did it for me.. but he didnt realise he had to take the spacers off before putting the stockies back on
so the screwws werent put in all the way
anyways if your wheel was comming loose ur steering wheel shoulda been shaking like all ***kkk
i never got any knocking sound
just my steering wheel shjakingg really badly
and i assumed it was because i ahd the stockies on the front and the 17's on the back
anyways the shaking got soo bad that i eventually pulled over to see what was wrong
only to find my front left wheel almost about to fall off
called my mechanic up he came down had a look
the bolts had bent and had sheared the threads
managed to get the car home safely and my mechanic worked on it that day
im sorry to hear about ur incident
thats veryyy dangerous
glad your safe but!