I have a theory and it is probably way wrong, but here it goes:
St. Anthony (the patron of lost things) is just an overgrown 3 year old child. Has anyone ever seen a toddler who likes to play tricks on it's parents? You know, take something, hide it, then when they are asked where it is the child smiles, giggles, then runs away? Then the parent has to go chasing after the kid and coax him/her into telling them where said item is. I think this is what St. Anthony does.
I am FOREVER losing things!! I search for them - no luck. I ask St. Anthony for his help finding said item. It is found in the MOST OBVIOUS location possible. My theory is that this is his way of making sure we still rely on the help of better people than ourselves. So the next time you have lost something, just imagine St. Anthony sitting in heaven looking down at you with the ornery look of a silly 3 year old!