I had a tamed horse with a saddle in an enclosed area right in front of me when I logged out. When I logged in, there was no horse. I did not leave the chunk. It could not wander off. The world is offline, so nobody stole it. The saddle is also gone.

If I can't rely on horses to not disappear with rare saddles and armor, then the whole horse update is more or less ruined for me.