Mine have done that. Mia has done it once, my cat helped me search, I just sorta followed where he went and the second his ears perked I knew where she was. Out went the cat and I found my hammy.
Before I got lexi's current cage, she used to get out of her crittertrails all the time. I remember more than one night, the cat waking us up and telling us that the hamster was in the living room. :3 Never been injured.