During the passage of the game Red Dead Redemption 2, you can notice that the weapon disappears from the inventory list of the main character. But you should not worry about this: this is not a bug, the weapon is not lost forever, and it can eventually be used. This move is provided by the developers for the convenience of the player, and if desired, this option can not be used at all.
It's quite simple. In fact, the entire Arsenal is kept by Arthur in a bag that hangs on the horse's saddle and is marked as belonging to the main character. To use a weapon or change it, just go to the animal and open the appropriate menu. Next, Arthur can choose the one that he needs. All types of weapons that the hero received from the beginning of the game will be available.
Advice to players: it is recommended to take the weapon out of the bag every time the player reaches another travel goal. But if necessary, the character can use it while moving.