How would you explain a dog running away to a 2.5 year old? Any suggestions?

Obviously we are hoping to find our sweet puppy who somehow vanished from our backyard during a 15 minute potty trip on NYE... We've put up flyers, posted on Nextdoor, posted on numerous Facebook groups, called and emailed all the local shelters, and dropped flyers off at local vets. That said, I don't have a ton of hope. He's small and really really cute so even if someone finds him, I wouldn't be surprised if they keep him. Also, it's been 2 days and nobody has even seen our little guy.

All that said, we are struggling with explaining this to our 2.5 year old. Most of the time he is fine, but sometimes he just asks "where's (dog's name), where's my (dog's name)" over and over. So far we've said, "(Dog's name) was scared by the fireworks that went boom. He went for a walk out of our yard and now we are trying to find him so we can bring him home."

Suggestions welcome!!