It got cut off when Nana slammed the window shut. (Peter was quick enough to get out, but his shadow was too slow, and bam, there it went.) It therefore gets left at the Darling house, hanging from Nana's mouth.
Mrs. Darling falls asleep in the nursery when Peter arrived into the nursery. She was frightened and screamed. Nana came running into the room and chased Peter out of the window freaking Mrs. Darling out because she thought he had fallen to the ground and died. When she gets back she finds Nana with the boy's shadow in her mouth, which got cut off by the window slamming.
Nana wants to leave the shadow outside the window because she's sure he'll come back for it but Mrs. Darling couldn't leave it there because it looked like washing hanging outside and it lowered the tone of the house, so she rolls the shadow up and puts it away into a drawer until she can tell Mr. Darling about it. Blah blah blah they leave for the party and Tinker Bell goes into search mode looking through the wardrobe and turns out all of the pockets until she finds it in the chest of drawers.
Take this as a play by play of the whole ordeal from my copy of Peter and Wendy.
Its in the chest of drawers