Why is my iron ore disappearing when mined with a wooden pickaxe?

Wooden picks aren't strong enough to mine iron, you need at least a stone pick to do that. All you ever wanted to know about picks.

Wooden Pick cannot mine Iron Ore. Use it to mine stone, then craft the stone into a stone pick. A stone pick can be used to mine Iron Ore.

If you make a wood pick first and mine some stone then you can make a stone pick. A stone pick can be used to mine Iron and Lapis Lazuli ore.

Mine some iron ore with your stone pick. Smelt the ore in a furnace and use the iron ingots to make an iron pick. Iron picks can be used to to mine Diamonds, Gold and Redstone.

A Diamond pick can be used to mine Obsidian.