Where is my thick club?

I gave thief to a pokemon, and started using it on wild cubones/marowaks.
Eventually i got the message "Skarmory stole thick club from its foe", but the item isnt in my inventory, my pokemon doesnt have it, where is it?

Innuendo title, haha.

Slow down. What game first, second, your Pokemon wasn't already holding an item, right?

No, my pokemon wasnt already holdin an item.