I usually just say something like, "you know, I just checked my messages/email/voicemails a few minutes ago, but didn't get any from you. Maybe there was a problem with the number you typed. Nevermind; what did you want to talk to me about?" and just move on. Sometimes emails do get lost into cyberspace, yes, but I think a great deal more just don't get sent. It doesn't matter--state that you didn't receive it (so they can't blame you for not replying), encourage them to use the correct contact details in future (gives them an 'out'), and move on quickly.
One guy I used to work with was terrible with this kind of thing. Often, he would send you the email, but five minutes before he met with you, so most of the time you wouldn't have checked it yet. He'd get upset that you hadn't read six pages in five minutes. Once we had a meeting where he'd pulled the same trick, and he was (as usual) surprised that we hadn't all read his huge discourse sent only a few minutes prior about some presentation that was upcoming. And then, most frustratingly, he kept referring to the email he'd sent as though we all knew what he was talking about, and became frustrated when we couldn't follow what he was on about. Several times people asked him to just give us an overview of what was in the dingdangity email, since he wanted to talk about it so much and we couldn't follow him otherwise. He refused--"there's no point. If you decided not to read it, it's not my job to fix that." Ugh, loser.