I had it happen last week. I got a "we see you've received your package, how do you like it?" email. Except I hadn't. Tracking showed it dropped off 2 days earlier. My office door is open to a busy sidewalk and often unattended so I assumed the worst.

Finally found the culprit on camera. When the carrier left the package, they put it on top of a pile of other packages. As they were leaving, a gust of wind blew it straight into a nearby trash can. Where I happen to put all the empty packages, so it didn't look out of place. And of course that was the day the trash gets taken out.

Kind of comical in hindsight. Just glad it wasn't really anything important.

One time I caught them in the act, so I made some pretty scary/angry threats and they never came back.

This was after having pretty constant issues for years. Someone stole my motorcycle in the middle of the night shortly after that though, I always wonder if that was their "revenge" or just a coincidence. Insurance payout was more than I paid for the bike though, so that was nice and I have an even better heavier bike now.

Keep in mind that lot of companies have USPS do the final mile of delivery. The original tracking may show delivered when USPS takes over.

In the end though, contact the company you purchased it from and ask them to track it down or replace it. This is their problem not yours. Do it soon as there are time limits if you need to reverse the charge.

Had this same thing happen to a fairly expensive HIPPA compliant USB flash drive a few years ago. It never showed up, the delivery company said they delivered it, the company sent a new one free of charge.

Also have a security camera too. I installed mine after the above issue.