I jumped into water on my tamed horse and got bucked off as usual. When I turned around  to get my horse, I was alarmed to find that my horse had depawned or disappeared into thin air. This has happened to me three times in one world causing me to lose 2 diamond horse armor, 1 golden horse armor, 3 saddles and 3 very fast horses. This only seems to happen when jumping into water deeper than 1 block while riding the horse, but it does happen fairly often. It happens enough to make a real difference and inconvenience in a survival world.