after you caught a female Darkrai, a Zorua come out, steal your Pokéball and run away. You don't know why would Zorua do that, but you eventually decided to find her and Zorua. After few hours, you finally manage to find her but she refuse to come with you as she already found a new master.

"I'm sorry, trainer.... but Zorua was my new better master."

That's where it was too late to get her back as she hand you her Pokéball back