I just heard about this today (and checked it out at Snopes), and it’s pretty bizarre. There’s a way to set an “ATM Trap” such that it captures your card, and then the thief does a bit of social engineering to get your PIN, only to recover the card a short time later and withdraw cash. This PDF file shows such a theft as it happens (note this footage is from 2005 and it’s quite likely many ATMs are now made with this in mind, but still forewarned is forearmed):

“ATM Trap” theft in progress (PDF)

So, beware! If you use an ATM that sucks in your card, and it appears to be confiscated, follow the steps in the document.