It's not uncommon that there are bugs and glitches in games, and free roaming games like Red Dead Redemption usually has their fair share. Red Dead Redemption seems to have been struck by phantom horses, invisible guns and cloaked cowboys.
If you do a search on Youtube you will find plenty of examples. The problems are most apparent in the ambitious multiplayer portion of the game.
Rockstar are working on solving the issues, and tells player who experience problems of the invisible nature to contact them at [email protected]
A couple of Youtube links for your entertainment:
Red Dead Redemption "invisible" Glitch
Red Dead Redemption ( Invisible Horse )