I built a barn and put the fire with chimney outside the back wall. So there is no access to the fire from inside. It still works to keep them warm. And then I put a low wall around the whole thing. I did have eggs laid outside, and did have a chick hatch from an egg to the outside. Maybe an extra spacer around the fire would be a good idea too so they don't lay through the wall into there.

But generally they don't just disappear. If they ended up in the fire you should have meat and maybe feathers. It's possible they could clip through the floor or a thick stone wall. They don't understand physics at all.