Try to repair geometry of the feature classes you work with while merging. It worked for me.
I know this is a very late reply but this may be helpful to future users. I was trying to merge 5 shapefiles today and one of them kept disappearing. It turns out that my problem occurred because of dataset schema mismatch. This means that the shapefile in question had one different field in its attribute table. A workaround is to merge all shapefiles with identical fields, then use the "Append" tool to add the differing shapefiles and set "Schema Type" to "NO_TEST", which allows the addition of shapefiles that do not necessarily match the target's dataset schema.