Assuming it was sent via standard mail, It's probably sitting in a pile waiting to go through customs. EMS, priority mail, express mail, etc have priority sorting and all the regular stuff is last.
Or it could be like this Warning: Spoiler! (Click to show)
I've gone to the PO and have had 3 different people check (since they tell me they'll call back but of course they don't, and God forbid you try to accomplish anything on the phone with the PO) and they can't find it. I also thought about how occasionally packages will be marked delivered while still at the PO, but the supervisor said that the scanner that was used for the delivery confirmation is definitely the guy who normally does my route.
All other times this happened it was with a specific mailing service from Amazon (FedEx Smartpost, where they hand it off to USPS), so I thought it was just specific to that. I have had no problems with normal packages until now, and I get quite a lot of packages.