A) Have you assigned a city defense army? Go to your Army Management screen and see if any of your units are outlined in blue. If not, you need to assign a defense army.
B) Get friends. Aid them. Join guild. Aid guild mates. Aid neighbors. When they aid you back, your supply buildings will get motivated, which makes them immune to plunder for that production cycle.
C) If you are mistakenly talking about goods buildings being plundered and not supply buildings, the best solution is to set the production cycles on them to a time that you know you will be on to collect immediately. "Collect On Time" is the motto of the don't-get-plundered crowd.