A company called Dickies make a small canvas "pick-purse" that can be attached to the guitar strap.
Very useful, but I still forget to put picks back in there, so still lose them. I do find that the little "ticket-pocket" in the front right-hand pocket of jeans the best place.
When I was teaching in primary schools and going to a gig straight from work, I have on a couple of occasions forgotten my plectrums, so had to use one of the plastic coins the kids used in their maths
(money) lessons.........

As well as leaving behind picks, capos, leads (even a guitar stand, once), I sometime pick up other people's by mistake. Have been kindly lent a capo, and embarrassingly taken it away with me.
I did return it by post, though.
Then there is the stuff you leave behind at home before the gig - once my guitar, but remembered just in time to turn back home.
Once woke up one morning, not knowing where my guitar was from last night's gig - but the cause of that was no doubt Shepherd Neame
Mssterbrew Bitter.