Yep, they just disappear. There's a link back there somewhere I put up which explains about the independent intelligence and the high prey drive, if you have five minutes. :)
I will relate to you now the tale of the one and only time I managed to (briefly) lose one of mine. This is my 'good' dog, trained to the extent that she tested out of the obedience classes and moved on to agility because I couldn't think of anything else to teach her. I'd like to think that she will eventually compete at agility, such is her obedience there. Her recall in the training classes (in a fenced field or 8ft fenced compound) is 100%.
This was back when I had only one dog and often walked her on a 50ft long line. Such was my complacence back then, and my trust in her training, that I sometimes dropped the line and just let it drag alongside me in the knowledge that if she spotted something I could grab or stamp on the line and stop her. She always, always stopped or came when called.
One day I stopped to tie my shoelace. In the, ooh, couple of seconds that I was concentrating on knotting the shoelace she was gone, so fast that I only saw the trailing edge of the 50ft lead as she disappeared down the side of a wooded ravine after some small furry creature.
I called, I whistled, I shouted. Nothing. 10 minutes passed. In a panic I slithered down the side of this bloody ravine, on my arse in the mud, brambles shredding my arms and face to pieces. I ran back and forth in a panic, having visions of her being squashed on the road or shot by a farmer. Another 10 minutes passed.
After what felt like a lifetime I finally caught a glimpse of her in the woods, some half a mile from where I'd lost her, and started shouting and calling with utter relief. She turned, looked at me, considered me briefly and then pissed off further down the ravine. It took me another ten minutes of flinging myself from tree to tree to catch her, and only then because she stopped to roll in some crap and was too engrossed to notice that I'd snuck up and grabbed the long line.
All the training, the trust... it means nothing. Not one bit. If they know they are free, they will go.
Being on the lead isn't a sentence to a life of misery and boredom, I did another huge post on that subject on one of the recent AIBU dog threads. :)