Sneaky rollback in SQL Server 2008 R2
As Remus succinctly puts it, there is no secret feature to rollback a transaction without logging. It is also not possible to rollback a committed transaction.

Your code is broken, not SQL Server.

From the scant details the only scenario I can envisage is the now missing data having been inserted as one long running distributed transaction, someone sighting the data via an uncommitted read and the transaction subsequently being rolled back.

Most likely is an error in the logic or analysis of the failure. Human error and cover-up perhaps even more so.