The 'Suicide Squad' star was dressed head-to-toe in the high-end fashion house's clothes at the annual fundraising gala for the benefit of the Metropolitan Museum of Art's Costume Institute in May, and he also carried a replica of his own head.
However, when asked what he did with it after the event, the 30 Seconds to Mars frontman admitted he has "no idea" leading him believe it may have been swiped by someone.
In an interview with GQ, he said: "Honestly, I have no idea.
"I think someone may have stolen it.
"If anyone out there finds it, bring it into your nearest Gucci store in exchange for a pair of dirty sneakers."
Meanwhile, the 47-year-old Louisiana-born star admitted that despite being lucky enough to get to wear Gucci all the time, he never wants to look "too regal".
He told the publication: "Well, I was born in Louisiana, so that probably balances out any chance of getting too regal, but I have a lot of help from the Gucci team.
"They're an incredible group of people. So talented, so gifted. I feel really fortunate to work with Alessandro (Michele, Gucci's Creative Director) and this motley crew of artists and craftspeople that he's put together."
The 'Fight Club' star also spoke about how when he is performing with his band he's "more" himself than at any other time, as he's not playing a character and is sharing a moment with his brother and bandmate Shannon Leto and their fans.
He said: "When I'm on stage, I'm more myself than almost any other point in my life.
"There's no character.
"It's just that communication with my brother Shannon, with the audience, and with the music.”