The problem is that your code is not valid HTML.
Yo dont have any text between the a tags which is why CKEditor is removing it from the code.
you have see the same thing happen using the CKEditor Demo:
if you add text between the a tags, for example:
<a href="images/Panos/banff.jpg" title="banff"></a>
<a href="images/Panos/banff.jpg" title="banff">Click Here</a>
CKEdittor will not remove them.
Also, CKeditor will not allow you to add li tags with out adding the ul tags also, it forces valid HTML markup.