Are you going into grass near any NPCs? If so, they could be part of the issue.
Sometimes the Pokemon will run away if you're taking too long to capture it or taking too long to approach it to capture it.
Make sure that you're not staying in the menu too long because the Pokemon can get away during the time spend in your menu.
I don't usually chain much for Pokemon, so if what I say isn't the most helpful I hope that someone who chains often can be of assistance.
I wish the best of luck with your chain of Zorua.