I had the same thing happen to me with a nice 6 ptr. He was maybe 40 yards away standing in the wide open and me with a scoped 30-06. The bullet didn't exit and there was no blood or hair. I didn't think I had hit him and after looking for a while my father-in-law and I gave up. Found him 5 days later not 75 yards away. He went up hill and out of sight, then turned straight away from us and then headed down hill where he died. From then on I have vowed to treat every shot like a hit and search harder.
But nature has a way of reclaiming things so dogs, coyotes, buzzards, crows, etc get to eat.