This is something basic that you should understand before flying.
It's explained on page 13 of the manual.
Failsafe RTH
If the Home Point was successfully recorded and the compass is functioning normally, and the Loss of Signal Action is set to RTH, Failsafe RTH will be automatically activated if the remote controller signal is lost for a specified amount of time (3 seconds when using the remote controller and 20 seconds when using Wi-Fi).
Return-to-Home can be cancelled by the pilot, allowing them to regain control when the remote controller signal connection is re-established.
Since your drone didn't return, it's likely that there's more to this incident than a simple loss of signal.
To find out what happened to your drone, and why it didn't come back, you'll need to post your recorded flight data.
There are a couple of options ...
1. Go to
DJI Flight Log Viewer | Phantom Help
Follow the instructions there to upload your flight record from your phone or tablet.
That will give you a detailed report on the flight data.
Come back and post a link to the report it provides and someone might be able to analyse it and give you an understanding of the cause of the incident.
or
2. Just post the .txt file here
or
3. If you use Airdata, you can view the flight data on Airdata and post a link for the Airdata report
I've just viewed a couple. Can you get a text flight log from DJI Fly?
Mini 3 Lotte World Tower, Seoul. Looking for editing advices
