There are a lot of reasons why your replays get lost, for example, If you lose "osu!.db" or it gets corrupted (unexpected shutdown, crash, reinstall etc...), your replays are gonna be lost, unless you're in the top 500 of the map.
However, if you have saved the replay before using F2, you should be able to find it inside your osu! folder and all you need to do is double-click it or drag it to your osu! client, otherwise it's gone for good.