Then what happened to the money? The only way that the IRS would bill you is if a 1099-R was issued and it was not reported on your tax return. Even if a rollover, the IRS can assume that you took the money if it was not reported.
You should have some records that show where the money is. Once you find out what happened and get the records, call the IRS in the number in the letter and talk to them about it.