I've been in the game 113 in game days. I've had a horse with saddle for about 110 of those days. Last night, I found a nether fortress with diamond horse armor in a chest. I came out, put it on my horse, went back into my house and logged out. Today, I came on, did some mining below my house, came back up to go tame another horse, and my first horse, was gone. No horse, no armor, no saddle. I had him inside a fenced in paddock that was lit up, so mobs wouldn't spawn inside. I tamed a new horse, ran around the area looking for my first horse, and was unable to find any sign of it. I logged out and went to search the web and this forum, type this up, and logged back in to take a screenshot of my paddock. When I logged back in, the horse, the second one, with golden armor this time, gone. This is getting expensive...

Update:

The horse I have at another home location, approx. 1,500 blocks away from my main home, is still there. That horse does not have armor. I'm kinda scared to give it armor, in fear that it will get eaten by the game as soon as I do.