Leads that attached pigs to a fence post didn't drop when I killed the pigs. Have not tested with other mobs.
Linked issues
is duplicated by 24
Comments 12

Confirmed
Also happens when the animal gets killed as you lead it, whatever kills it : creeper explosion, fall damages, or weapon damages.
Still an issue in 25c! This goes on the list of stuff that needs to get fixed before the release...

Also happens to horses, and wolfs, and probably every mob that you can attach a lead to...
Related to MC-16663. Both bug reports are about leashed mobs being killed.
Confirmed. And still happens in 13w49a
Can confirm in 1.7.3 pre-release. Leash, held or attached to a fence, disapears after killing any mob.
Confirmed for 08a
Confirmed for 14w21b.
Confirmed.