I have a question: Was the horses damaged? As in, they didn't have full health?
Not long ago I did a test with throwing and the weapon rack. I wanted to see what happened if I tried to put back a half empty stack of throwing weapons. As I found out, unless it's full, you don't get it back and the remaining ammo in the box is lost.
I tested this because someone wrote about this on the forums and possible exploiting and I wanted to check if the devs had done anything about it. I was glad to find out that they had done this. Yeah, it's bad that you wont get back the stack with 3/4 ammo, but better that then splitting the stack into 4 different ones and keep multiplying your stacks and creating new ones out of air. Maybe this has something to do with this bug, as in, the horses health is it's "ammo" or something, and a horse that's NOT at full health is then just lost? Not sure if this is the case, just wanted to point this out as a possible reason.