The reference to horses can be found on the official Rockstar website, on the Tierra Robada bit of map. When you move your cursor over the Las Barrancas icon, the following text can be seen at the bottom of the map:
"A quaint desert town steeped in local history, home to preserved Hopi ruins and the terrible setting of the Barrancas Mass Grave. In 1842, the 66th Cavalry, under the command of Colonel Henry Bolt, was stationed in nearby Fort Carson when they answered a call for help from homesteaders under attack from bandits. Riding to the rescue, the whole force fell down a hole. It is said that the sound of a hundred horses can be heard riding through the town at midnight..."
Although, it's not a much speculated myth, some people spent some time trying to hear the sound of horses at midnight, but failed to do so. It is unclear which hole was mentioned in the legend and whether it still exists. The landscape around Las Barrancas contains many cliffs, steep drops and treacherous terrain, so the "hole" mentioned in the story could be just another term for one of these land features. Some player think the "hole" is a reference to the mass grave near Las Brujas. So far no evidence have been found about the presence of any type of anomaly in Las Barrancas.
Strangely, the article mentions ancient Hopi ruins. The Hopi people were a Native American Indian tribe in Northeast Arizona.
Other than that, Las Barrancas contains abandoned Native American buildings carved into the side of a cliff, hinting that Native Americans inhabited the area long before Las Barrancas was a town. There is a small cemetery and a church in the heart of the town.