If your search term is a sequence name (GenBank, RefSeq, dbEST) and it was not found, first check spelling of the name, and try to simplify it (e.g., remove version number at the end). If this does not help, get the sequence of the mRNA/EST and copy it into the BLAT tool in fasta format. Then you will be able to see the genome location of your sequence and neighboring genes.
Some sequences were not included into assembly because of their poor match to the genome or incorrect splicing. If the intesection with gene exons was <100 bp, then the sequence was removed.