Had a tamed and named cat sitting on a bed in a house above ground. I went down underground to fight some monsters on easy difficulty. Time went by, and I heard zombies pounding on my doors back above ground, so I changed the difficulty to peaceful and ran back up. When I checked on the house, my cat was no longer there on the bed. I was absolutely certain the cat was seated when I left, and that it was on easy mode when I was fighting monsters underground.