I've been playing Adventure Mode for a while now (around a month on and off) Not very good at it, always get killed, but I've repeatedly had followers randomly disappear for no obvious reason. An example of this was when I went to sleep in the mountains and had the one last surviving companion next to me - when I woke up (I slept within two tiles of him) he was gone, off the companion screen entirely, with no explanation.
At first I thought it was a boogeyman attack or something but they would have gotten me too - and the few times I have had followers long enough to see them actually die in battle, they DO appear on the companion screen (listed as "dead")
Even more confusing, this happens sometimes when I'm just walking around (not in travel mode, i mean actually physically walking) I was just in a snowy area a minute ago trying to find an encampment to kill generic bad guy with stupid name #6000 and I was searching around, my vision severely limited by trees. One of my companions lagged behind me somewhat (10 tiles or so, at a guess) and the other slightly moreso, to the exent that she briefly left my vision. A minute later I look on the companion screen and the one that lagged behind the most had completely vanished from the screen as well - and within the next 50 seconds, the other did too. There were absolutely no creatures around that could have killed them, and even if there were I would have found their bodies.
Current hypothesis: My adventure mode character is being stalked by Slender Man.
In all seriousness though - what's going on here?