Don't you just hate when that happens! I do my EPP in front of the TV and often my thimble will catch on the needle and off it goes into the family room. I have been lucky so far that it has been found- in the sofa, on the floor, on my sleeve, under the sofa (how does that happen). I do worry that my dogs will find it before me, but DH has been great at crawling around with a flashlight. You could try a vacuum with a stocking tied to the end- it might catch the needle.
My MIL had a needle stuck in her toe for years and didn't know it. She had many bouts of infection but the docs never realized what was the problem. She was hospitalized once with one, fell and broke her hip. She passed away after the surgery. Moral of the story- persevere with looking for the needle!