If Urshi offers to upgrade it then it’s in one of these locations…
It’s in your hero’s Inventory
It’s socketed in one of your hero’s rings or amulet
It’s socketed in one of your follower’s rings or amulet
It’s in your Stash, either “loose” or socketed in a ring or amulet
This comes up so often in the Bug Report forum that we have a stickied thread which includes details of how to locate the gem in question if it’s in your Stash…