If your inventory is very cluttered, then it could be hidden in there somewhere. Or, perhaps sometime during the fight, you accidentally unequipped the shield and it's somewhere laying on the ground? Also, if your stats are not high enough to wear the shield, then it might disappear from your in-screen avatar (but still in the equipment screen, just showing up as red). I've never encountered this problem, so I don't know what else to tell ya...
