There are really only three reasons why messages might disappear on Tinder:
- You have terminated the conversation by unmatching with the other user. I'm sure you'd remember doing this though!
- If you report a user, or if they are removed from the app for interacting inappropriately or spamming people.
- Tinder has become notorious for fake profiles in recent months, and if you've been chatting with one and they get caught out - this could explain your conversation suddenly disappearing.
I believe Tinder makes this clear in the steps leading up to deleting your profile.
There is a theory that, if a match decides to unmatch you, then the conversation may disappear.
This hasn't happened to me before, but it is entirely possible that this could happen to.
If you feel there's a bug with your Tinder app, your best bet would be to contact their support team on:
http://www.gotinder.com/support