If you sneak out of jail and roam free, you’re at large! You’re on the loose! At large is often used for criminals who have eluded the police, but your dog could be at large if you can't find her.
Have you ever watched the news and heard something like, "A murder suspect is at large"? That's bad news, because it means they're not in police custody. People use this term when someone escapes from the police or hasn't been captured yet. You'll hear this term a lot on TV shows that involve crime. Bank robbers, muggers, and even lost dogs could all be at large. A criminal is at large until the police catch him.