I think It should continue to attack it's current target, then (still be tame) but act as a docile wild animal. If something is attacking it still, it should continue to attack until wounded, flee then act a a docile wild animal (like sheep, dogs, and wolves do) Finding a pet after it has fled would be a challenge.
Since I can't edit, do not that the pet could still die with this idea and it would only switch to acting like a docile wild animal if it could out run it's attackers. Sort of like the pet being at a loss for what to do.
(Are we meant to move the discussion to this thread? I've been restraining from posting here, but everyone knows I'm just too shy.)
From a purely RP point of view (I have never played druid), I would feel normal for the pet to Attack after its master death.
I think that from an RP point of view, attack, going wild, or even... erm, forgive me... ending up dying are the things that make sense.
However, for gameplay justice, server crashes, party environments, not making it too easy with a pet just standing there to be recovered, etc, stable seems to me to be the simplest option. In the end, any decent group will either help the druid train another pet, or go looking for a stable...
I voted Attack! because you can already put the pet in the stable. With Attack! as the option we have the choice.