That makes a lot of sense. But isn't it kind of pointless for a client to generate a transaction number for a transaction that is never going to occur? That's what's confusing me. And from what the OP said, it seems that at some point the transaction was showing up on blockchain.info.
The client creates a transaction number and broadcasts the transaction, so that miners can grab and include them (and blockchain can show the transaction), but until it's included in a block the Bitcoins didn't move.
You see the blockchain points to an address x and says "the 3 Bitcoins are there" and including the transaction in a block moves the pointer "the 3 bitcoins are there at address y"
The Bitcoins are never really "sent", so they cannot be lost. They are either on address x or y.