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The way the bottom of the clip tapers up makes it a candidate for snagging on things, I've had it snag on those paper grocery bags before, and totally remove itself from my pocket without me knowing, so it is pretty plausible the same happened to you, and it might have snagged and ran off with the bag when you moved the bag or lifted it up or something. Glad you found it!

That's exactly how mine got snagged on a paper bag. Didn't notice it was gone until the girlfriend mentioned it was hanging off the bag while we were walking though another store picking up a few last items. Ever since that happened I check my pockets more frequently and especially after carrying/lifting things hip level.