Is it possible that its either equipped or that you sold it upon arrival?
Same thing has happened to me, twice my explorers have returned with a couple rare items and they all disappear when I hit the collect button. Getting very frustrated with this... does anyone have any idea why this happens?
When you are viewing the dweller as they are in the Wasteland, if you click on an item, it will mark it for sale. So if you accidentally clicked an item any time before clicking "collect" it will sell that item automatically. Could this be what is happening in your case?
Also if your storage space is insufficient, once your wanderer arrives but before your collect them, you will notice some of the items they've collected have a red background. Those will be lost if you collect your wanderer unless you sell off enough of their items beforehand.