On a realm I'm in, multiple horses have disappeared while tethered to a fence using a lead.

Two of my friends' horses have disappeared (Technically a horse and a donkey), and one of mine has just now disappeared, all while we weren't looking.

Both times, multiple horses have been tethered to the same point, but the second time, only one horse had disappeared. The other horse and a free-roaming horse in the same pen did not despawn, and I know for a fact it didn't just wander away because the second time they were completely locked in the pen.

The second time, the horses were both named, saddled, tamed, and in horse armour, but the first time, they were both just tamed and possibly saddled.