Did it disobey your commands and lose loyalty? Where upon you did not feed it to restore it to Wonderfully Happy, so it went wild.
Did you log off in an inappropriate manner (ie not ridding it or not stable it)?
Do you have the minimum skill required to own it, or at sometime were you playing around with soulstones and removed your skill, then commanded it (it would disobey your commands)?
Did it die before it was bonded?
These are the only scenarios I can think of that would cause you to lose a pet.
Stayin Alive,
BG