While it doesn't explicitly mention a friend going out in the snow and not coming back, the story focuses on a young boy named Peter who plays in the snow all day. The story's focus is on the joy and wonder of a snowy day, but it leaves room for interpretation about Peter's feelings and anxieties as the day progresses.
It's possible that your memory is blending elements from "The Snowy Day" with another story or film that features a missing person in the snow.
Would you like to explore other stories about missing people in the snow, or discuss specific elements from "The Snowy Day" that might be relevant to your recollection?