I found that Japanese book sales cards [0] work very reliably as bookmarks and don’t fall out. One can easily make them oneself out of thin, preferably non-smooth (friction-y) paper, by folding a strip in two and cutting out a lip for easier handling. In use they look like this [1]. They hold better due to being two strips clasping a book page, and due the static friction of the paper. Because they don’t stick out of the book (the lip bends and can fold) like regular (often glossy) thick-paper bookmarks often do, they also don’t “catch” and risk getting pulled out that way.

[0] https://www.google.com/search?udm=2&q=%E6%9B%B8%E7%B1%8D%E5%...

[1] https://imgcp.aacdn.jp/img-a/800/auto/aa/gm/article/4/1/4/9/...