Very hard to tell, if there's a bug or something quite normal in question.
To find out, we have to narrow this down to what was originally reported "when I hit arrow to the animals the arrows disappears" - and exclude the missed arrows which indeed can be difficult to find from the distance.
wanderer (and others), I would need to investigate a savegame right after you think you some of the hit arrows had disappeared. I think that might come in your way usually after the animal has brought down and arrows are to be collected. Feel free to send one.
One thing which can cause this sort of confusion though, is that arrows that break are left on the ground at the hit location. In the heat of the hunt you may misplace message information regarding arrow breakage. And if you, for example, notice making 5 hits to the target, but don't notice a message about one arrow breaking, then it may surprise to collect only 4 arrows from the kill.
Also, in the earlier versions broken arrows simply vanished. It was even more easy to get confused if message log wasn't read carefully throughout the hunt.