I have been lucky as far as having to track deer. I shot and lost one with a gun once and it crossed the same creek a couple times. I believe it knew I was following him. It was the first day and the woods was full of hunters so it held tight to that area. I never got him and as I tracked him I could see he was not mortally hit.
Another time I helped my buddy trail one he hit with a gun, and it actually laid down at a small stream. That one was not a kill hit either. I don't know if it lay in the mud to stop the bleeding, or because the bullet was hot. Either way, when it got up and left, the blood trail had stopped. I guess it depends how much other disturbance is in the area as to how they react.