My horse disappeared after I died

I wasn't paying attention when leaving Saint Denis and I got ambushed and wasn't able to activate deadeye before I got shot dead by a Gatling gun, which was a little frustrating, but whatever, BUT when I respawned my max bonded horse which I've had since the beginning was gone, so I thought it might have been in the stables, but nope! Can someone tell me if it's a glitch or something? Or if it's dead than I'm gonna go to a previous save because I can accept my horse dying, but it would be super anticlimactic if it dies to a random Gatling gunner I couldn't have done anything about when not paying attention.