It appears to only happen as a glitch when in multiplayer for Red Dead Redemption, causing horses, guns and even other stuff to go...
"We're aware of the issues some people are experiencing on multiplayer and we're working hard to fix them," Rockstar told Kotaku in a statement.
"If you're having issues please email RDRSupportteam@rockstargames.com. We are also actively on the forums helping people with any questions they may have about the game."
Multiplayer is the prime culprit for causing players, guns, hats, horses or even the deadly wild animals to simply go 'poof' but still very much exist - which naturally causes major problems. Getting mauled by stealthed cougar does not a Predator film make.
Still I guess it does have its funny side providing you're watching a friend get shredded by an invisible force as you fire wildly in all directions. No wonder cowboys died out...