it leaves after showing you the way to N`s castle. It wasn't ment to be caught I guess. But if its a Zoroark you want, I know how you can get one in b/w 2 :) just get the Zorua at the ex-team plasmas hideout which is in driftveil city, get it to lv.30, and then you have a Zoroark! but if you want more than one then breed it with a Ditto (which you can find in the giant chasm) at the day care on route 3, get the egg, run around until it hatches (which may take a wile) and you have your self a zorua!
hope I helped!