It's spoiler-free, but as it is single-player related, stop reading now just in case.
When playing with Ellie, in the city covered with snow and wind gusts, just before getting into the restaurant, there's an arcade with 2-3 enemies patrolling. Sometimes they will get to the entrance facing the street where you are coming from. If you approach them while they are in this street - to kill them or whatever -, the very moment you face the enemy, he will disappear at all, like if nothing had happened. I even got one in front of me, throwed him a brick and he disappeared while the brick was flying. It's happened to me 3-4 times in a row, always in the same area.
I keep having enemies that I stealth killed disappear from the screen right away, and I don't even get to get any loot off of them. To make things worse the other enemies (soldiers in this case) were able to spot the body still.
By the way, here is a picture of the bulding I'm talking about, taken from IGN walkthrough. I said Arcade, I'm not sure it was the arcade now, but it is the building of the picture. In the pic is shown a hole at the end of a alley, the bug appears in front of the building where this alley has the start.