Lil' Ragnaros takes a break every now and then to pop back to the Molten Core, usually when you start moving, as he only brings his lil' legs out on very special occasions, and when he's quite a lot larger and angrier than his pet form. Don't worry, though, he'll re-emerge from the plane of fire when you stop running around.
What's more, he's also a battle pet, a mythical elemental to be precise, of rare quality on purchase. He's strong against mechanicals, but his abilities are generally weak against critters. Probably why he spends so much time wreaking his fiery revenge when he's hanging out by your side. You can see all his stats over at Warcraft Pets. Pick him up at the Battle.net Store, or the EU Battle.net Store for EU players!