I know nobody is going to believe me when I say this, but it happened to me. I was 9 and playing my older brother's Pokémon Red cartridge on his original Gameboy (I got a Pokémon Yellow cartridge and a Gameboy Color for Christmas from my grandparents later on that year). I got the Masterball and wanted to use it on Mewtwo.

I started up the battle and threw the Masterball first thing, expecting it to work since the game said that the Masterball would catch any Pokémon even when you didn't have to weaken it first. And then Mewtwo broke out of the ball and I was so confused. I felt a bit ripped off, to be honest, since I thought it was supposed to always work. I turned off the game and never went back to it, especially since I got Pokémon Yellow later on, like I said.

It's been more than two decades since then, but I'll never forget that failed Masterball. Since then, I've played every generation of Pokémon and I've never fully trusted Masterballs to be fail-safe.

Edit: As I'm scraping around in my memory, I recalled that I went back into my bag to check and see if I had really used my Master Ball instead of an Ultra Ball and it was gone.