Yes, this has happened to me. I swore I had games like Sengoku Blade, Dragon Ball Z and a couple of others for the Saturn. But they didn't exist on my shelf any more. I figured I lent them to somebody, but didn't remember who. Nobody else remembered when I asked them. About 6 or 7 years later, a friend of mine finally cleaned out his super-messy closet and found the games which I apparently lent him. He gave them all back. Apparently I had games that I didn't even realize that I owned, like Highway 2000 and Steamgear Mash for the Saturn!
Luckily my save files for all the games were still intact, so I just picked up where I left off.