just had that happen to me. A couple of days ago a swarm landed on a hawthorn & blackberry hedge outside the end of my garden, so armed with a sheet, cardboard box and a pair of secateurs I went out and collected the swarm. It took a while as the hedge and uneven ground being covered in prickly blackberry stems were more intent on giving me grief than the bees, snagging sheet, box, legs and sleeves with every move.
I have a bait hive box on my extension roof, but as that was immediately out of reach, I put the box of bees into an old super and roof in a vacant spot in the garden. I hadn't spotted the queen, some bees were fanning around the entrance, and most of those outside were making their way in, so I took that as a sign the queen was likely to be in there. I was getting quite warm so I went to have a cup of tea and a think before getting my ladder to get the bait hive down from the roof which would make a better home for them.
As with most things beekeeping, this being the first swarm I had collected, I thought have a think first, better to have a plan than to rush.
But... before I even finished my tea, in less than 10 minutes, they had absconded, not a solitary bee left. They were only 10 yards and a fence away from where I had picked them up from, so some scouts must have returned and convinced them to head off elsewhere.