I had a curious incident once of my luggage going missing on a flight from Tamworth to Armidale! (.... long story as to why I was flying that sector in the first place, but simplest explanation that there were no rental vehicles available in TMW).
At TMW as I walked to the plane, the agent also took my luggage to the plane placed it on the aircraft (not surprisingly I was the only paxwho joined the flight at TMW, the other 10 pax continuing from SYD didn't disembark)
At ARM, went to get the keys to the rental car, then to retrieve my luggage and it wasn't there. QF searched the luggage hold to no avail. Anyway headed off to do my site inspection north of Guyra, and got a call from someone who'd picked up my luggage by accident, put it on a charter plane and it was now in Glen Innes. Luckily they managed to get it down to Guyra for me, all in time for me to pick it up and get my planned flight to SYD (which was only 3 hrs after arriving).
So it can happen, not always maliciously but by accident as well, but always worth having a contact phone number inside & outside your luggage for this reason.