This isn't a bug.
If you start gathering a shiny and don't actually "loot" it, the shiny will time out after a few minutes and disappear. All shinies do this.
The Moonlight shinies do not respawn at all, so unfortunately you just missed out on that one shiny this month. Next time, be sure to "loot" the shiny before you walk off. This is why god invented voicemail. Shinies > phone. 