Myntra / Delhivery — Return package missing

Address:

Mumbai City, Maharashtra, 400072

I have placed a full return request (worth INR 5600) for one of the myntra order. The guy from Delhivery courier came and collected the items and packed them in box and affixed a bar code. He didn't give me any receipt but told me that I would receive the acknoledgement number via SMS. I have not received any SMS and now Myntra is saying that refund cannot be initiated since they are unable to track the package.

Delhivery is not helping me to track the order, instead they keep saying that I should to talk to myntra. And myntra saying that as per delhivery records they are unable to track the package or was never picked up.
Please help me.