Yep - I have that happen to me on occasion. I always say the idea jumped out of my head, and ran across the room and out the door. If I can't recall my train of thought and reel it back, then I just write it off that it wasn't that important anyway.
Many times it'll end up coming back to me later in the day. I find that tends to happen more when I get myself side tracked on several different topics. I tend to be very divergent in my way of thinking, so sometimes when I get "off track", things like that happen.