So one of my vault dwellers went out exploring and came back with one of the blue colour coded rare sniper rifles but my dweller had had died, I revived him with caps and then recalled him. He came back to my vault and I collected all of the things that he found. The blue sniper rifle was not here and I can not find it anywhere? What has happened? If anyone was wondering it was one of these guns.. http://fallout.wikia.com/wiki/Armor_piercing_sniper_rifle

Check and see if he equipped it - I have had the peeps equip better gear than I sent them out with, might be the same with a gun?

If you tap the weapons (to check them out for instance) before you click collect, it will automatically select to sell them.. Maybe this happened? Because I had it once too.

Its possible the icon you saw was wrong.

On one occasion my main explorer found a blue uniform that I was excited to bring back. But then before he came back I checked the action log to see when he found it. It said he never found one, in fact it listed him as finding a common uniform.

When he finally came back, sure enough I received a common uniform. The icon was wrong, but the log was right. Check the log!