Hey,
So, I have been dealing with the same issue (last season). And I have come to the conclusion that the pets "get bored and they leave from your command".
Now,
JustThiemo
can give us more explanations but what I said just above seems to be it. Because all the pets I have lost the reason they were lost was that I hardly used them anytime.
Now because I read your post you said that it got lost after it got hatched. You can still collect all the proofs and exact information about it and if it wasn't used for a long time then it has to be the fact that the pet got bored. Although, if it didn't happen as I explained report the bug directly on the Bug Report Section.
-> The link for the
Bug Report.