I have NO idea why this happened.
I had 2 tamed donkeys with chests blocked in. There was NO way for them to escape. I went away for 10 minutes, and one of them was gone.
I even got so mad I teleported every horse to me, but it only found the one donkey I still had.
The only differences between the two was that the one that disappeared had more hearts and a lot of good items in it's chest.