Where do cockroaches and vermin go when you attempt to kill them?

I just tried killing one now but when I went to search my room for it, it just disappeared into thin air.

I looked over, saw a cockroach, tried spraying it with house cleaner, and it ran off under my bed, which has a bunch of stuff under it.

I then moved everything out from under my bed to look for the roach but I swear it just disappeared. There are no visible holes in the walls or baseboards either.

So I’m just wondering…where do they all go? I’ve turned my room upside down looking for it but no luck.