You probably went into a casino on the strip with him in toe, they took your guns and his. Then when you exit the casino your guns and your companions guns are put back into your inventory. You can give it back to him via the companion inventory screen.
Regrettably, that didn't work for me. I actually got his .44 and lead pipe at two different junctures...meaning, he was gimping around with his lead pipe for a while after his .44 disappeared, until eventually even his pipe appeared in my inventory. I'm not sure how it happened - if they got knocked out of his hand, I never had to pick them up off the ground. Mysterious.