Was riding on horse when I was disconnected from my MCPE Realm. When I was able to reconnect to the realm the horse, with saddle and diamond horse armor, was nowhere to be found. I was walking some distance further back from where the disconnect happened.
Not sure if a realm update was causing the disconnect, since it was unavailable to all players for about half a minute. There was no warning or message indicating an update, though.
That means your realm crashed and was automatically restarting at that time. When that happens while you're riding a horse there is a high chance that the poor horse will despawn, which is a known bug reported in MCPE-16863. The same goes for minecarts.