Basically, this has happened to me 3 times now.
Twice with my cats before
and just now with my horse.
I do not have screenshots unfortunately.
Just now, I was exploring, riding my horse.
Then trying to cross a river to a village, got too deep in the water and POOF, my horse is mysteriously just missing. I heard once and then there's nothing.
This is happened similarly before with my cats twice. In one world, I was exploring on a boat, my black cat sitting behind. Then getting out of it, getting my cat out, it started behaving oddly.. glitchily it kept on flashing in different spots, I could hear it until the game just said "Cat suffocated in wall"
This happened again in another world, I think the cat teleported to me because it grew up from being a kitten. I was busy fighting pilligers, later it the game said "Cat suffocated in wall"
aaand.. just now my horse mysteriously reappeared in the river after quite a bit.. This certainly isn't something I want to keep experiencing though..