This has happened to me twice now. I jump into water and my horse completely despawned.
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duplicates
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Somewhat. It doesn't have to do with chunks. It's because the horse is fully submerged in water.

If the horse is completely under water, it will drown after a while. This is Working As Intended if that's the case.

Thank you for your report!
We're tracking this issue in MCPE-108568, so this ticket is being resolved and linked as a duplicate.
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It does not drown it completely disappears as soon as it becomes fully submerged
Hey there! Does MCPE-21416 describe your issue?