When you dismount a horse on a part block (slab, snow, path, stair, etc.), it disapears, I don't know exactly the versions this happens in other than 1.11
but if it happens elsewhere, another reason to get rid of it.

to trigger the bug do the following

1: choose a world you don't like or backup the world
2: get a horse
3: dismount it on a part block (slab, snow, path, stair, etc.)
4: look for it