Well , sure our man couldn't bring the horse with him to Los Angeles , so he had to leave him in Monterey . Now I don't think it would have been a smart move for Don Diego to sell Phantom , since someone could have recognized the horse . So he probably had to let him go free or give him to someone else as a gift from his Alter Ego , Zorro . I like leroykevin's theory that he actually gave him to Anna Maria .
I was wondering : didn't anyone think it was a strange coincidence that Zorro appeared in Monterey at the same time Diego went there for business and that the two of them left together ? Well , a certain amount of suspension of disbelief is a necessary requirement to fully enjoy this show . Plus , at least there was a reason Zorro showed up in Monterey at that precise time , he had to be sure Diego's money would have arrived safely to destination , after all ..
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