Batman has a habit of talking to someone like Commissioner Gordon, then disappearing when their back is turned.
When was the very first time that Batman did this, either in the comics or some other medium?
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In Detective Comics: Issue #424 (1972), Batman is discussing with Commissioner Gordon about a murder of a stockbroker. At this time, Batman vanishes for the first time (image below).
Detective Comics #424 (Page 3-4)
This is the first time he does it in any media (movies, comics, TV series etc.).
If you want to know how he does it, you can find the answer to that here
The second time we see it was in 1973 (Swamp Thing: Issue # 7) when he's investigating the presence of a monster (Swamp Thing) in Gotham.
Swamp Thing #7 (Page 8)