In my survival world my mule had despawned when moving between the nether and the overworld, causing me to lose all the items inside of it. Because of this I have tried to recreate this issue in creative with 2 horses and 2 mules, both saddled as well as the mules having chests as this is what my mule had. This is shown by the screenshots I have attached. I also made an effort to make the portal a sufficent size as to stop any suffication. I also fenced the area so there could be no way for them to escape

All I did to recreate this was to get the horses and mules to keep going between the nether and the overworld. As shown at the end after I kept repeating this, eventually all the mobs had despawned entierly with no trace of death, I couldnt hear them dying either. Just to make sure I exited the world and then reentered in both dimensions as they may have unloaded.