horses are pretty strong. They can take most creatures 1v1. Since the only mobs that are aggressive and travel are dragons I'm going to assume dragons keep murdering my horses... I'm really sad right now because I had stolen frost and kept him for myself. I managed to keep him alive for a very long time. Now he is just gone... I left him in a safe spot. There were no mobs around. (I could use the wait option and I do check every time)
Can we please have an option to leave our horses at home... because I'm tired of getting attached to a horse for it to only be murdered by an [censored] dragon while I'm inside a dungeon and cant protect it...

I have stolen a horse, too. But it always went back to the place I found him.
Maybe that's what happened to your pony.

Stolen horses return to their masters when you get off of them. The problem here is that you stole the horse.

Buy one. Or, as a superior alternative, get Shadowmere. Beeeeeeast.

There is Quest spoiler if you care stop reading now!

Frost is YOUR horse. Hes the most amazing horse in Skyrim. There is a quest to steal him for someone. But when you go to give him to them there is an option for you to keep him. He is then the same as a purchased horse. Hes yours you own him. He doesn't move when you get off him he stays put unless something is close to fight. When you fast travel he comes right along with you. I had left him in a safe spot and gone into a dungeon and when I left I fast traveled to another place to complete the quest and he was gone. which means something killed him and that something really only could have been a dragon. Also I have bought horses before and they all magically disappear like frost did usually right after I get attached to them. I had frost the longest and I was more attached to him then most.