Penitration has a lot to do with the weight of the arrow or bolt in your case. That is why I switched from a light CX arrow to a heavy Easton FMJ 340 for my bowhunting, as I want weight for penitration.
In years past, I had shots like that where I found that the deer in question headed for good cover to hide under. To this day, when I have a deer run, I look under low hanging bows of trees and even bushes. Just do everything you can to track your deer, and if you can not find it at least you know you have exhausted all means to locate your deer.
This does happen, even to the best of us.
"Whitetail it's more than a passion, it's an addiction"
Bowhunter and Handgun Hunter