If the rest are showing no sign of anxiety, then either they know she's brooding somewhere or they didn't see her get taken, as others have said.
Roos can and do protect hens, and hens can and do seek protection from them when they sense danger but don't know what exactly it is or where it's likely to strike. This flock free ranges, and was spotted in this self-arranged formation through a window
View attachment 3933094
I never found out what spooked them; dog or fox most likely, but it did not attack.
A roo making an alarm call draws the predator's attention to himself and signals his location, as well as alerts the rest of the flock - his hens and chicks - to impending danger, so the particular circumstances can influence whether a roo calls or not. Evolution selects those that manage this trade off well. Usually the hens' and chicks' response to an alarm call is to scatter; forming up close as in the photo is very unusual.
Some roos are a bit quick to sound an alarm, and the hens come to ignore them. Selection works against them too.