That might be a possibility and they might have turned around to avoid whatever phenomenon they saw.
Or it could have been captured by a UFO. I remember reading about a UFO flap near Puerto Rico in the late 1980s in which three US Navy F-14 Tomcats chased after a UFO that was pretty good size. At some point one or both of the F-14s flew into the UFO and never came out.
http://www.cavinessreport.com/ED2.html