This has happened twice now in my world. First time was when I left the game on my horse and when I joined back it was gone. It was on a multiplayer server but it was only me on it.

Second time was on the same server, just me, and I was quite far away from spawn. I rode a horse trying to get back to spawn and I tried to jump over a lake but the horse got underwater and I was kicked off of it, and it just disappeared after I got kicked off.