Why are some mobs disappearing?

One commonly looked over bugs that may have caused this is that leads will sometimes break when reloading chunks. If your horse was on a lead, there is a chance that it didn't actually disappear; it may have just left.

From the information on this page, if a creature is tamed by a player, it is given persistence and cannot despawn. Your pigs and cow would not have had this and therefore could have been subject to despawning. It is most likely that the lead for your horse simply broke and the missing farm animals just despawned.

Hope this helps!

A hostile mob may have killed it. I have seen a hostile mob in my world kill a sheep. If it was surrounded by a fence, a hostile mob may have spawned in the fence. They will not spawn if you set the difficulty to peaceful, but your passive mobs will remain. Another player also may have killed it.

There's a bug where horses can randomly suffocate in walls. I had multiple horses die when trapped in 2×2 areas completely surrounded by walls.

I already stated an answer related to this one, so I'll just repeat it here with a few changes.

---

Now to start with, have you heard of despawning?

Thanks to the chunk loader, you are only allowed to load a limit of chunks. As you leave that area and the chunk is no longer visible, there are certain instances for these mobs to despawn.

It's better to actually find name tags or trade for name tags, name them and they won't despawn even if you are out of the chunk.

Of course, they might still despawn for other reasons (just like what happened to my horse), but setting a name for them would give extra protection. Just make sure to protect them or they're dead.