I have experienced two occurances of this bug. Firstly, I quit my game because it was lagging a bit and when I reloaded my tamed wolf was gone and I havent seen it since. Secondly, I dismounted the tamed mule I was riding and instead of being next to me, it completely disapeared and I havent seen that since either. This doesn't exactly make the game but it is extremely infuriating, especially if all the treasure i had collected was in the horse's inventory.