I have been collecting each and every one gadget and to my unpleasant suprise, game takes all of that hard work and hours and takes all my weapons and gadgets on Oil Rig level.

Why would you humiliate your player in that way? I understand the weapons, but why the gadgets?

Is there a way to recover all the gadgets?

I think the devs did it because they don't want you to nuke (black hole) everyone in the final level, especially at the "legion" part

Recollect them. Unfortunately this isn't a Core Tombraider game where you find you missing weapons and stuff in some room after your captors removed them from you when they caught you.