In a private realm in 1.17.40, I was playing alone in the Overworld (never gone to Nether). I had attached some horses and donkeys on fences. The disappearance occured two times on the same realm :

• one time there was two donkeys attached on the same fence and three horses attached together on another nearby. I just climbed 50 in height to mine some blocks, and when I came down there was one donkey and one horse gone. Nowhere to be found, and without the leads or the saddles on the ground. I was playing in peaceful and there was no lava either.
• the other time, I attached 5 horses and 2 donkeys individually, I was just gone 100 blocks away (no change in altitude) and came back soon after, and one donkey has disappeared again. This time because it was attached individually, I could see the knot of the lead still attached on the fence but no lead line in sight, just the knot. I tried to quit then reconnect, but it was the same. I detached the knot, and no lead dropping on the ground, and of course, still no donkey.