When an arrow bounces off of you because you are in Creative mode or blocking with a shield, the arrow drops as item instead of landing on the ground. This applies only to arrows a survival player can normally collect.
Have the following command running on a slow clock and be in Creative mode or block with a shield
The following is based on a decompiled version of Minecraft 1.10 using MCP 9.30.
The method net.minecraft.entity.projectile.EntityArrow.onHit(RayTraceResult) is responsible for that. This behaviour is probably intended.