Error on removing USB: Needs Formatting

Today I attach USB with my system then I copy some data to my USB and remove some data from USB when I complete my work then I remove USB form my system but when I remove USB then I receive below error after appearing this error I attach USB again but it is not working properly. Message appears for Format USB. I have very important data in it tell me its solution. How can I save my data.

Device Removal
The device you removed was not properly put away. Data might have been lost or damaged. Before you unplug your device, you must first select its icon in the Finder and choose Eject from the File menu.
