1. It was never even sent … maybe the seller took the money but never bothered to send it. Maybe it was a scam from the off … never even existed in the first place (I mean, if it’s so very unlikely that anyone else would be able to wear it, what are the chances of this unique lingerie having been available in your unique size to begin with anyway?)

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2. It was never delivered in the first place; the delivery agent lied — maybe they have good reason, like they’re a single parent and daren’t lose their job but their kid is sick with the Plague … or maybe you just paid someone to take the afternoon off, who knows?
3. It was delivered to the wrong building, someone took it and they will keep it for themselves … or gift it to someone else (perhaps creepily in an attempt to get into it subsequently, or in an attempt to save a failing relationship, or as a way of raising the spirits of someone with a terminal illness but the person gifting it to them could never afford it themself so they feel they can’t afford to look a gift horse in the mouth, or perhaps it was an impoverished child hoping it might lift the spirits of their battered/grieving/depressed mother, or perhaps an impoverished adult gifting it to a battered/grieving/depressed mother/sibling/child/friend) … or intend to return it but never get around to it … or will attempt to, but you’ll have moved before then and it’ll be too late … or even will return it eventually.
4. It was genuinely taken by accident, the person who took it has since realised their mistake, keeps meaning to bring it back, but it's never the right time for one reason or another and they simply haven't got around to it (maybe never even will) … or maybe they will eventually, just not yet … or maybe they’ll consider it a stroke of good fortune and they’ll gift it to someone else.
5. There is a kleptomaniac in your building (for whom stealing groceries isn't enough of a thrill) with the good sense not to steal a computing rig because, if accused and their home and/or lockup and/or wherever else were searched, it would be difficult to pass it off with "Oh, I must've picked it up by mistake" ... and who also has the good sense not to enter your apartment and steal, say, a TV for the same reason, or anything else that they couldn't explain away, and/or is worried about leaving DNA/prints around your apartment (maybe they have a Police record … maybe you’re sharing a building with someone with a Police record right now).
6. There is someone in your building who is obsessed by you, has long desired to possess something intimate of yours and this was their first opportunity to obtain such an item without arousing suspicion because they can pass it off with "Oh, I must've picked it up by mistake" more convincingly than they can with "Oh, I must've sleepwalked into her apartment and taken a pair of underwear from the linen basket without ever becoming aware of it.” This first act might (have) remove(d) any previous anxiety they felt about taking action to feed their need and things might escalate from here on — it might be worth mentioning to the Police, simply so that there is a record of your complaint that might be referred to at a later date (they are empowered to respond more harshly to a record of previous complaints but much less likely to do so in response to a first instance).
7. See 5 or 6 above, but they live in another building or even in a different part of town, the country, the World — I’m not sure whether that’s more or less comforting than the other possibilities though (you decide).
8. The Secret Services took it by mistake (a case of mistaken identity) … or on purpose (suspects sent it to you by mistake and you are now a person of interest as a result of the mixup, or maybe you were already a person of interest) … and it will be returned to you after it has been fitted with surveillance technology (in the underwiring and/or elastic) … or maybe they’ll (have) destroy(ed) it in a controlled explosion.
9. Clowns did it: you are being targeted by clowns … or, perhaps, have been being targeted by clowns for some time but they are now escalating things to the next stage:

No Laughing Matter

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Either way, clowns actively stealing your underwear is not a good sign and you should start thinking about what you can do. You could try moving to another apartment, town/city, state or even country but, whilst you might buy yourself some respite for a while, creatures that can travel the multiverse by way of interdimensional nexus points have probably got your psychic signature tapped and will locate you eventually and catch up with you again. You might be able to increase the length of this grace period by sealing your apartment/house/wherever with tinfoil, but as soon as you set foot outdoors (or even open a window), you’ll pop up on their ‘radar’ and it’ll be all over.

Your best hope is probably to sell up and buy a ’mobile home’ and stay on the move; you’ll still need to seal it up with tinfoil though … and you should probably put on a tinfoil hat before setting foot outside — it still won’t be perfect … and the downside is that you’ll be forever on the move … unable to put down roots, make friends, or hold down a job that pays much (unless you’re able to ‘work from home’) … but being on the move will make you harder to locate/intercept.

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Also, you can’t visit family any more … which would endanger them — even going places near them and watching them from afar with a pair of binoculars, or a telephoto lens … whilst your heart breaks and you go ‘home’ to cry inconsolably for hours (even days, on and off) … is probably too much of a risk.

Nor should you risk attending funerals — it might be a trap.

In fact, if you love your family at all, it’s probably best to cut all contact with them. Remember the point about not watching them from a distance though — not even a funeral.

Whatever strategy you choose for dealing with the situation though, you should think about getting rid of your white goods as a precaution:

White P̶u̶n̶k̶s̶ Goods On Dope

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… better safe than sorry — you can always grow food hydroponically, if you decide to lock yourself away in an apartment (or series of apartments) … and you don’t need milk, butter, yoghurt, cream, cheese, cream cheese, cottage cheese … or any other dairy for that matter ¹.

Right, I think that’s all the bases covered.

Good luck with your choice, whatever you decide, and I look forward to reading your first post from your new mobile home.

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¹ No, cat’s milk isn’t the answer, I’m afraid ².

² You can’t open the window to let them in or out and, before you know it, you’ll be knee deep in cat crap, which … despite your initial thought that you could use if as fertiliser for your vegetables … is no use for your hydroponics and, secondly, like the sorcerer’s apprentice, you won’t be able to make it stop.

Also, sooner or later, the creep who has been keeping a watch on you and stole your underwear will notice you opening the apartment door to let the cats in/out that way and that’s a whole extra problem you don’t want at the best of times, let alone when you’re tying to hide from interdimensional clowns.

NO cats!