I had the same problem about a week ago. I do a head count when ever I go out to see the girls. Well I keep coming up 1 short. I could not figure out what was going on. I did not hear a ruckus or anything( They make ALOT of noise if a person,dog ,hawk, anything comes around) so I thought she just wandered off somewhere. Well night time came and still one short. I was like what do I do? Do I leave the gate open incase she comes back. I closed up the coop for the night and thought to myself "Oh well I finally lost one" But I could not let it go so I got a flash light and went looking for any sign of feathers or anything. After about an hour I was about to give up but something made me look in the chimney clean out.( I use a utillity room for my coop) YEA! I see 2 feet and an egg. Mystery solve! but now I have a new problem. How do I get her out? The clean out is way to small so she is going to have to get out the way she got in. It was about 5 ft so I had to come up with some sort of chicken elevator. I took a piece of cardboard put it inside a cloth shopping bag and attached it to a fiberglass rod. I folded it up so it would fit in the cleanout hole. I lifted the chicken with one hand and shoved the bag under her then push her up the chimney until she reached the flue.
So don`t give up maybe they fell in a well or something.