Before you say that someone stole them, horses stored in inaccessible locations, randomly will lose their saddle and saddle bag. This has happened to me at least 3 times and another player of mine once (he lost all the contents that were in the saddle bag as well). Seems to only happen if the horse has both saddle AND saddle bag. Other horses we have with just a saddle do not appear to be affected.
Has anyone else experienced this?