Simplistically, lets say that pensions and putting money in the Bank are the same thing. So, you put $100 in the Bank. The Bank then uses the $100 to buy a golden chicken; now the Bank has a golden chicken, the farmer has the $100, and the Bank owes you $100. The Bank expects the golden chicken to lay golden eggs, which it can sell. But instead the golden chicken dies, and no-one wants to buy a dead chicken.

Now the Bank has $0, and owes you $100. You can no longer withdraw your money from the bank, it has "disappeared". The farmer has the $100, it still exists, but the Bank has lost it. Saying that it has "disappeared" is a way to shift the blame away from the Bank.

The joke is when you realise that the farmer isn't a farmer, he is an investment banker. And he got a $100 bonus. And he actually works for the Bank.

...and that's where the money went.

Of course it can. Value can be destroyed just as well as it can be created.