I can remember each one I've failed to recover. One was a monstrous buck and when I let my arrow go I knew it was a double lung. Pefect broadside.Then it went into the woods and stopped, which is the telltale sign (goes in and crashes behind brush, dead). Then it came out of the woods and I was so surprised I failed to use the time I was given (and it was enough, sadly) to nock another arrow. The blood trail went cold eventually. Obviously I had not lunged it at all. I bet it was just a couple inches from a double shot.
I also once lost a trail during a heavy snow fall. It was coming down hard and the snow was covering the tracks. That was uniquely frustrating. Also super stupid on that one because after the shot (from a semi-auto rifle) I was so confident as it trotted off I failed to use the opportunity for a second one. So lesson learned never not use the chance for a follow-up shot if available, regardless of confidence in the shot.
We're getting a dog and I've thought about training it to track but I think it's probably an advanced skill to teach.
My last lost deer was a snap shot as I was walking. Also in the snow. I feel what you meant: losing a deer in the snow seems impossible but it happens.
Last season I shot a deer with my .45-70 from 15 yards. It literally fell over. Got up and walked off so I figured same: let it die. Few minutes later, no blood at all and no clue where it went. Luckily my cousin called me 5 min later asking if the deer he just killed was mine (he heard the shot). Major hole in a perfect spot. How it made it 200 yards uphill will always escape me. Thankfully we got it at least.