From the pinned thread at the top of the forum…
If it’s upgradeable these are the only possible locations…
- In your hero’s Inventory
- Socketed into your hero’s equipment
- Socketed into your hero’s follower’s equipment
- In the Stash
If it’s in the Stash, you have to be aware that it could be socketed into a ring / amulet and really difficult to see. Not only this, the Stash’s filter box will not find a gem by searching for it by name if the gem is socketed into jewellery.
Simplest way to confirm if it’s socketed into a ring / amulet in the Stash is to log into another hero, take all the rings / amulets from the Stash into their Inventory, swap back to your main hero and run another GR. If the gem’s no longer upgradeable it’s in one of the rings / amulets you put in the other hero’s Inventory somewhere.
Summary
Not a bug.