That happens when the hen isnot really protective. Its best all around to use hardware cloth or very small wire around a pen bottom if a chick can get through.
I have lost them that way too, so its not just you. A single chicks is vulnerable enough as is, the odds are against them. Next ones, and it will happen, isolate the hen and the chick until the chick is at least well feathered out.
Spring is coming, days here in the 30s now and high 20s at night, still got 5" of snow on the ground, which has settled from over a foot.
I hope to be filling the incubator the end of April.