I lost one 3 years ago that got tangled in it's momma's feathers.
"Pigie", the momma, is a bantam cochin and my absolute BEST broody. She has raised 4 clutches. Her first was the spring of 2007. She hatched 4 chicks. 3 pullets and a cockerel. At about 2 weeks old I saw Pigie in a panic. The little boy was dangling behind her. He had gotten tangle by the neck in her fluffy under feathers. He was already gone. Took her a good hour to calm down. She raised Sky, Little Lady Blue, and Suzy for several weeks. All are still here with my pet bantam cochins.
That was the one and only time I ever saw it happen.
Matt