Occasionally, when a horse foal runs into an obstacle, it goes inside of the block. The foal does not come out of the block when it does this, and therefore suffocates to death.

I have seen it in three instances:
1. A horse foal walked into a sandstone wall and suffocated inside it. (this happened twice, in the same building, to different horse foals).
2. A horse foal moved into a plains dirt block that was one block higher than the one it was currently on, instead of walking up on top of it. It suffocated because of this.

I have never seen an adult horse do this, only the foals.