Your Luck Incense has to be somewhere, items can't just disappear like that.
I suggest that you check your Swellow for the Luck Incense, just to be sure you weren't imagining the Luck Incense being gone.
If your Luck Incense isn't on your Swellow, check the other Pokemon in your party, you might have accidentally given it to one of them.
If you still can't find it, check your bag, you might have though you gave your Luck Incense to Swellow, but it's possible that you didn't.
If you're still having trouble finding your Luck Incense, check the Pokemon in your PC, you may have accidentally given it to one of them instead of Swellow.
Those are pretty much the only places your Luck Incense could be, if it's still in your game. However, if you don't find it, you can get another one at the Slateport Market.
Hope I helped!