I've heard of it happening. Personally, I've never had anyone pocket a chip from my cash games but I noticed about 3 months ago that I'm missing a single 5k chip from my tournament set. I don't know exactly when it went missing - I first discovered this when I washed my tournament set after a year of use.
I've had a chip go missing twice in 15 years of hosting tournaments.
First time I was hosting remote (another couple's house), and a $100 chip turned up missing at evening's end. A relatively quick search discovered it five feet away under the couch, presumably dropped and either rolled away from the table, or was a great unseen slap shot by their cat.
The second disappearance was a mint
ES T5000 chip, same location, same circumstances -- discovered missing at closing rack-up. We looked for over an hour, in every conceivable location (including the cat's quarters upstairs). Not to be found, and was totally bummed and confused as to where it could have gone. We continued to look for it on subsequent tournament dates for the next two months, to no avail.
Interestingly, that particular event was also the night that we actually paused the tournament while paramedics were called to attend to one of the players -- he suffered a seizure during his action. We initially thought he was tanking, then realized he may be having a stroke.... but he snapped out of it after about five minutes and was perfectly fine (and promptly called the bet, lol). So we thought one of the paramedics might have taken a souvenir, since they treated him while still seated at the poker table.
But alas, the chip showed up at another tournament three months later, when one of the semi-regular gals dug it out of her purse and flipped it onto the table during her buy-in. Unknowingly at the time, it had fallen out of her hand and into her open purse three months earlier while moving to the final table during consolidation.... she found it a few days later, and this was the first time she'd been back. It took a real beating in that purse for three months, too -- it is sadly no longer mint, and has been retired.