Stolen package at the post office?

I ordered a rather expensive package from a UK website and gave my home address for delivery (regular mail, recorded delivery). I got a little slip in my letterbox on Friday telling me it had arrived at my local post office and I went to collect it - but after about 20 minutes of looking they couldn't find it and asked me to come back on Monday. I did, now only to speak to a new person who couldn't find it either. I gave my phone number and was told I would be called back yesterday, but still haven't heard anything. What to do? Am I being paranoid to suspect someone might have stolen it?