I'm pretty sure followers can't be killed on the way home, since they can't be killed in combat unless you deal the final blow. He most likely got stuck or is bugged. Try waiting IN your home for a few days.
That's what I thought too. The thing is I don't feel like waiting in my home a few days. Kinda spoils the immersion for me since part of the draw of this game is that it feels so real, and I don't think in real life I'd hold a vigil for my missing housecarl. Oh well...
If I can't find him I'll try and go back and find Mjoll and marry her. That way, I have all chicks in my houses.

Pimpin' ain't easy...