You could mention more details - such as which build of 2.5dev you are playing (date), and if you find this happening shortly after you saved, you could provide that savegame. The UFOs' behavior seems predetermined up to a certain point - when a UFO changes direction, the new direction (and destination, presumably) is randomly decided at that point.
Did you check your notification messages? They may not be configured correctly. I haven't had this problem, though I think I've had had a 'you lost tracking of this UFO' message appear when the UFO had already left the detection radius some time ago, once or twice.