Any Arrow (Projectile Form) that had its source (Crossbow, Bow, etc) 1 block in front of a block will cause the arrow to go through the block. The arrow will stop 1 to 2 blocks after going through the block. If the block is moved or broken the arrow will continue to move with a fraction of the starting momentum.
Thank you for your report!
We're actually already tracking this issue at MC-142772, so we will resolve and link this ticket as a duplicate.
If you would like to add a vote and any extra information to the main ticket it would be appreciated.
If you haven't already, you might like to make use of the search feature to see if the issue has already been mentioned.