Also if the spacing hasn't worked out and you were catching up slower traffic ahead. Most missed approaches are initially straight ahead, which would reduce the longitudinal spacing further, so breaking off and repositioning would be a better course of action.
Another rarer scenario. At a smaller airfield, in calm conditions, someone could be landing on the opposite end of the runway, (on TWR, while you are still with APP/RAD). If that aircraft initiated its own missed approach, you wouldn't hear it, but I suspect ATC would need to reposition you.
No offence taken Doug, and of course Gonzo has the more comprehensive knowledge!