Batman and Commissioner Gordon have always shared a mutual respect for one another, but that doesn’t stop Batman from disappearing without a trace whenever they meet - usually before Gordon is even done talking. The move has become a signature of Batman's in nearly every medium, but the Dark Knight actually first pulled this stunt in the comics, and he’s been doing it for longer than fans think.
The relationship between Batman and Gordon goes all the way back to the very first Batman comic, Detective Comics #27, published in 1939. Gordon was actually the first supporting character ever introduced in a Batman story, even before Alfred Pennyworth or Batman's on-again, off-again sidekick Robin. Depending on the story, Gordon’s opinion of the Caped Crusader and his methods can vary, but he believes Batman is ultimately necessary for the greater good of Gotham. As one of the few good cops in the GCPD, Gordon is one of Batman’s most trusted allies, but also the most frequent victim of his vanishing act.
The very first instance of Batman disappearing from a conversation with Gordon occurs in Detective Comics #424 from 1972. The Commissioner shows Batman security footage of the murder of a stockbroker and believes the case is open and shut. Batman seems to think otherwise, but before Gordon can ask why, the Dark Knight completely vanishes. A bewildered Gordon is left to look through the footage again in search of what clues he may have missed that Batman noticed.
Disappearing suddenly isn’t the only trick Batman pulls on Gordon. In 1973’s Swamp Thing #7 by Len Wein, Gordon puts on the bat-signal to summon Batman so they can discuss the arrival of Swamp Thing in Gotham. Batman appears in Gordon’s office as if out of thin air, startling the Commissioner, and soon after, disappears just as stealthily. Over the years, Gordon has gotten so accustomed to Batman’s shenanigans that the disappearing act doesn’t even faze him anymore. In the Rebirth era's Batman #2, Gotham and Gotham Girl, two new superheroes, are brought into the fold by Batman. While the four are discussing Solomon Grundy on the roof of the GCPD, Batman, as usual, vanishes, and not even the new hereos' ultra-vision can tell where he went. The two newbies are shocked, thinking such a thing should be impossible, but Gordon is used to it. “It’s not impossible, kid,” he says, “It’s Batman.”
Batman's vanishing act has become such a staple of the character that it’s even been included in the movies, such as Christopher Nolan’s Dark Knight Trilogy. How exactly he does it will likely always be a mystery to both Gordon and the reader. The best thing we can do is what the Commissioner has already done and simply accept it: it's because he's Batman.