that's happened to me a few times too, I think it may be a error, like a huge lag or something, so when you finally get the message the person who was trying to talk to you thought you where just being a snob and left and is no longer on line so their diologue just vanishes.
I think there is a glitch in the chat feature. I believe it is the same as the Facebook app; however, on Facebook, if someone posts on your chat just before you log off and don't notice, the conversation will be there the next time you log in and doesn't disappear until you close the window.
I have been frustrated more than a few times when I click on the chat message and it disappears immediately.
I'm facing another problem.In chat after typing a few sentences I cannot type anymore and it's an abrupt break in the dialogue.I don't know whether it's the chat or my computer or my enter key but this doesn't happen in any other forum.