This has happened a few times after I has spent most of the "day" or most of the "night" riding, where when I 'dismount' the horse disappears but sounds are still audible, (also you can have it in a pen of sorts and you can right click everywhere in it but it won't pick up the horse).
There are two ways of fixing it that i have found, one, wait for ten minutes until it reappears but sometimes it never does or two, log out but as this takes time it would be easier to just have the problem fixed.

I have only found that this occurs after a long ride but it is very frustrating.