This is a long-standing bug related to how item frames are reinserted into the world as items. They are particularly energetic, and have always been so, so it probably elevatored through the ground in whatever direction it appeared in rather than literally disappearing. Probably has been in the game since item frames were introduced.
If you want to recover any wayward item frames you plan on removing, remove all the blocks that surround the blocks your frames are placed on and give yourself an access point to the recess. If the frame happens to go zooming off leaving you wondering where it went, you can easily retrieve it by going to this recess (the elevatoring stops when the item encounters an air block).