The method started in the Soviet Union during the Great Purge. When someone was purged, state police would take him away to be killed, usually in the night. For important people, artists would literally airbrush them out of photographs. It was as if they never existed.
In Argentina, political dissidents were forced to jump out of airplanes far out over the Atlantic ocean. Obviously, their bodies were never found. Without any dead bodies, the government could deny they had been killed. People murdered this way are today referred to as the disappearing people. They were the inspiration for a U2 song of the same name.
In other cases, it is not the government, but private individuals committing the murder. In the vernacular, the mafia is said to have "disappeared" Jimmy Hoffa - killed him and buried his body in a even-today unknown location.