I didn't record this, so you'll have to take my word on this, but I was riding on a saddled horse. I missed a jump over a river, and fell in. Then I was forced to dismount (BTW, horses should be able to swim with the player like IRL). So then I looked around to find my horse, and I just didn't. There were no particle effects, so it wasn't in the water. There was no death message, so it wasn't dead. So it was just nonexistent. I don't think that's supposed to happen.