You Can't Mail Pens

One of my thoughtful coworkers mailed me a pen for lending her a hand on a project. The parcel of mail was hand-delivered by the postman because it had broken open. The pen was missing, but I know it was a pen because she also sent them to other people in my office and an included note mentioned 'the pen.' The postman told me it had gotten stuck in a machine and then, while shaking his head and staring me down he said, "You can't mail pens." I told him, "It's not like I mailed it." It was the opposite of shooting the messenger. After he'd gone, I was left with a situation: Do I email my co-worker and say "thanks for the pen" or do I email her and tell her it never arrived. I've yet to decide, I can't have her mailing me more pens.