We used to have that problem with mice when we used to keep them in the hamster cages until we started putting them in tanks. What was happening was the hopper mice were squeezing through the bars. drove us nuts, specially when we took the hoppers and put them in their own cage and they'd mysteriously appear back with their parents (I was sure katey was trying to drive me nuts and she was probably thinking the same thing about me).
A rule of thumb is if the head fits through everything else does too. so if you can push the head through your cage will hold the rodent just as well as it will hold water.
We've only lost one rat and she leaped out of our hands when we were socialising her. (not all rats are marked for death)