Surprisingly, I've lost some birds to the neighbor's dog and he didn't leave much of a mess at all. I know dogs usually leave a trail of feathers, but he didn't.
One time he got 3 and while I did find a few feathers no bodies, another time when I didn't fully latch the gate they slipped under it and he got 2. The roo put up a bit of a fight and there were a few feathers around him, but the hen was just there dead. I left the bodies for the scavengers and they disappeared without a trace, so even if your bird was left somewhere on your property something might have taken it later.
A hawk might carry off a small bird without much trace too. In the daytime maybe a fox as well.
It IS frustrating when they just vanish into thin air. My ole red roo Big Red disappeared one day, just poof! I never found a thing. My only green egg layer disappeared her first night in the (new to her) coop. No other losses from the pen, I initially suspected she might have been stolen because of the lack of evidence of any predators, but I just don't know. I started padlocking the coop after that though.