Contact Amazon and let them know. Counterintuitively, you *can’t* do this via Returns/Refunds in “Your Orders” (as of Dec 21 2016).
Go toand click Help. (or CTRL +F for “help”), it’s to the right of the options below the search bar.
Scroll all the way down to “Need More Help” and click “Contact Us”.
Then choose the order you’re missing, and email or otherwise contact them to say something like “It says this was delivered but I did not receive it. Perhaps it was stolen.”