I don't know where my pens go....but they obviously go along with my mascara, blusher brush and perfume. I've asked around, but no-one has ever borrowed them!
I've found the best way to get them to come back is to wander around the house stamping and muttering barely audible things under my breath such as, "....on strike....no cooking.....etc.
Seems to work!They turn up unexpectedly in areas already searched thoroughly though. Spooky eh?