How long ago did you buy it? If it is more than a year, it may need to have the roots pruned, and be repotted. I'd be careful about pruning it now though. If you do decide to do it, do only a little and only after you've ruled out everything else. You wouldn't want to shock even further. It seems strange to me that the tree would sprout new branches but lose leaves. imafan26 may be right about the light as well, and seems to be the most likely reason. Although you don't want low light, a bonsai shouldn't have direct, unfiltered light. Otherwise it burns it. I have made that mistake before.
Your tree doesn't look diseased from the picture, in my opinion I'd say its either the lighting, its 'root bound', or the watering practices. Hope you can save it! It looks like it would be a beautiful tree.