Can you clarify if it was a post (you created a topic) or if it was a comment (you replied to a certain thread)?

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I only know of 3 reasons:
1. Your topic/comment was reported to the moderators and then later deleted by mods.
2. You probably commented on a self-moderated thread where the topic starter deleted your comment
3. The thread you commented on was deleted by the starter or by the mods.

In cases 1 and 2, you'll get a private message as @pamoldar stated.

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EDIT:
Check below your topic (left side), you will see "move" or "lock" options.