I thought the same thing happened to me about a year ago or so, here's what I figured out. I was previewing the post to see what it looked like and then because it looked like a regular post I then clicked the new post button. I went to the new posts but mine wasn't here because, obviously, I had not clicked the submit reply button.
It's a simple stupid mistake that probably happens more times than we might think. If you find you've done that, not to worry, just keep clicking the back button until you find your reply and then submit it.