Dont worry, it its not gone. Just like victini, it will keep reappraring as you exit lostlorn forest and go back in it. It will keep doing this until it ic captured. Also, you can get zorua in your pokedex if you bring over a celebi to a girl in the GAME FREAK build ing in castelia city. I would reccomend this more than what you are doing now, as you get then both fully regestered in your pokedex (evolve zorua!!)
Hope this helps............