ABSOLUTELY CONCUR with everything Andy, Don and zovs66 have suggested. 
Depending on the terrain when using your HQ as a mortar that causes smoke when firing. The 
AI is "SMART" enough to know there's some kind of artillery/mortar unit that is very close by.  I will simply say "
INCOMING!!" 
I do the same because "
on map" artillery/mortars can be difficult to spot except by the smoke rising in the air that your units can see which will cause me to take the same action as the 
AI and have whatever's under the smoke yelling "
INCOMING!!" as well. 
 
Your HQ being your 
HQ was most 
certainly spotted by some AI unit that had a 
LOS on your HQ. Here we go again, "
INCOMING!!"
Cover and Conceal ALL your units as best you can, especially your HQ if you lose that unit, your game will change and 
NOT necessarily for the better. It is the "
comm link" to the units under your command, off map artillery and air capabilities again as Andy and Don have noted. 
I seek the "
highest" ground possible that gives it a decent 
LOS of the battlefield and to maintain comms. 
Also, as Andy and Don have pointed don't have them too close to 
any type of AA/SAM, Artillery/Mortar or Ammo units. That goes for MBTs etc., in other words 
NOTHING should be near them within about 
200m because enemy air could very well spot you then.
If you like moving the 
HQ around (And I don't in case, I need to call in some off map assets 
ASAP. I believe there's a 
movement penalty involved here that affects the "
orders phase".) give them some kind 
4x4 type vehicle that's 
fast and very mobile and of course has the 
CARRY capability to move them.
But whether playing against the 
AI or another 
Player, and to 
paraphrase "Where you see smoke, and you didn't fire there, 
then PLOT and FIRE there!! 
After all we all know "
Where there's SMOKE there's FIRE!! 
 For those that know me, can you tell me you didn't see that coming!?! 
 
Regards,
Pat
