Have a lost dog or lost cat?
We call them Coyote Rollers, but you may not be as worried about Coyotes as you are about your pets getting out. Fences are there to help keep your pet safe. There are times when our pets just don't want to comply! We know there are a lot of dangers out there: cars, wild animals, people with less than ideal intentions, not to mention exposure to sickness & disease, which is a very real issue that many people don't think of. 
Is your pet bored?
As a professional dog trainer, and an animal rescuer for many years, I've studied animal behaviour and I talk to people every day who are concerned about their pet getting out, so I like to think I have good insight into this problem. It's also one of the reasons I believe Rollers are so terrific!
We've all seen loose dogs and cats, we often want to help them, sometimes we find them a nuisance or a danger to others, and we know it's far too risky to have your pets get loose. Some pets jump over, some scale or climb over. Its an important distinction, that depends upon animal size, physical capability, motivation and of course, fence height and style.
There is a lot that could be said on the motivations of our pets, but one key reason dogs often want to roam, is due to boredom; they've had fun the last time they got out, and it was more interesting than sitting in a yard. Cats are naturally curious and often find it very stimulating to be outside, running around, pouncing and trying to catch things, often times, they feel the backyard just isn't enough for them.
There are many different things you can do to help curtail your pets motivations for leaving your yard. Provide more training, mental stimulation, exercise, and more playtime. Personally I think more playtime is important, not just for your pet, but for you too. :)
Look at your yard and fence
One problem we may have as pet owners, is the fencing we may have acquired with the house we're living in. HOA or city restrictions on type & height, the age or condition of the fence and the landscaping near the fence can all pose a challenge. It's not unusual to need to find a creative solution to a problem.
A dog or cat that scales a gate/fence often needs to use their front paws on the top of the surface as a "paw-hold" to get up and over it, very similar to how a coyote scales a fence. A pet that simply jumps a fence, doesn't use the surface of the fence at all. The size of your pet in relation to the height of your fence could be an indicator if they are jumping or scaling. The athletic ability, age, motivation and condition of the animal certainly plays a part in their capabilities as well. It's often said that if they can successfully do it once, they will continue to try and try again. Every successful attempt, encourages their determination to succeed.
Carefully survey your yard to ensure that there are no gaps in or under your fence, and no other objects both in/outside of your fence area that an animal can use to help propel them over the fence. (Outbuildings, trees, garden risers, horizontal rails on fence, limbs, rock, bins, BBQs, wood piles and the like, to name just a few). Decide if the fence is in poor condition and needs repair or replacement. If you have chain link fencing, it can post additional challenges as some pets use it to climb up, like a ladder, and pull themselves over. If you have a chain link fence, it may require additional preventative to keep a pet from getting over.
Cats have excellent climbing and jumping ability and can be a difficult animal to contain in your yard, so extra considerations, must be made. Cats can be successfully be contained if you have identified and corrected any other means for getting over the fence.
