I've personally never seen never seen wounded deer run toward water, but I'm the minority on that, so take their advice and go look by water. I would not be concentrating on looking in their traditional bedding areas. This deer is not traditional, he is wounded and wounded deer dont act like nothing is wrong and go about a normal routine so I dont think I would check places that deer normally are (you did that already it sounds like). You need to be checking wooded ditches, treetops, downfalls and little, thick places.

This is very important!!!!! Replay the shot in your head, did that deer EVER EVER know you were there, Even so much as you stopping him with a sound??? If you are certain that deer did not know a predator was there (you) then after he was hit, he probably ran a short ways and stopped wondering WTH just happened, and if he was hurt he probably found a very close, nice thick spot to bed down. If you so much as made a sound to stop him and that deer knew something was up, then he probably went a long way knowing a predator was there.

I'm hoping he never knew you were there, because if thats the case there may be a good chance you went to far and overlooked how close he may have bedded down. And if your shot did as Davidmil suspects, hes long gone and fine.