Amex states that purchases that are lost and/or irretrievable (i.e. item is neither stolen nor damaged), misplaced, or "Mysteriously Disappeared" are excluded. Mysteriously Disappeared means "the vanishing of an item in an unexplained manner when there is an absence of evidence of a wrongful act by a person or persons." So lost items won't be covered and unless you have evidence of a wrongdoing there's a chance that your loss may be classified as a mysterious disappearance.