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Empirical data reveals that event rates in the limit order book (depositions, cancellations and market orders) feedback on past price changes. In particular, cancellations tend to increase with past volatility. Such a feedback mechanism contributes to weakening the liquidity, which in turn increases the volatility and so on and so forth, possibly leading to a liquidity dry out. Accounting for such effects within a stylized order book model, we show that a true phase transition occurs from a stable low feedback intensity regime to a high feedback intensity regime in which liquidity crises arise with probability one. We exhibit its critical exponents and discuss implications in regard to real market data.