Are you seeing that you've got a DM ("Direct Message") on Twitter, yet when you check it there's nothing there? Or when you go to re-read one of your DM's it's no longer there? Well there's one reason as to why this will happen that not many know about.
The Sender Deleted The Message Their End
Twitter works much different to how other websites internal messaging systems work. Normally if you delete the messages in your inbox, then they just go from your side. However with Twitter, the DM also removes it from the other persons inbox too.
Person A sends Person B a DM saying "Hello", then sends another one saying "How are you?". If Person A then deletes the "Hello" DM from their inbox, it will not show in Person B's inbox.
The best way to make sure you receive every DM is to enable email notifications and/or text notifications when you receive a DM (so you've got a copy of what was said - like below).
It's actually quite annoying, as some people like to keep their DM's clean and empty, so delete them after sending, but what they're not knowing is that the person who they've sent them to WON'T receive them.