I've lost a mouse, and a couple of small rats before. I usually check places that are cluttered like my closet, in storage areas, behind appliances, etc. Listen for scuffling when you dig through stuff. Mice are a lot harder to find than rats (obviously). If you can't find it I'd suggest setting up some mouse traps using peanut butter as the bait... mice and rats love peanut butter.
I've found all of my escapees.. but we have 3 cats so they tend to gather around where the rodent is, making it really easy to find them.
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