Ask them to wait another week or two weeks (I have my customers contact me when their package hasn't shown up after four weeks after I sent it out).
In the meantime, ask them to contact their post office, in case they were unable to deliver the package, and ask them if they checked with their neighbours, in case they could have accepted the package.
If the package has not shown up by then, I offer my customers the choise between a replacement package or a full refund.
Make sure you have this time frame (how many weeks before you consider a package actually lost) stated in your shop policies. And, very important, what you will do to compensate the customer should this happen.
Since this barely ever happens and my products are not that expensive, I don't buy insurance for my packages (too expensive), but have a small percentage worked into my product prices to cover for these losses. This is called self-insurance.
(I only lost 3 package in over 9 years of selling online. Almost all of my transactions are international.)
I don't provide tracking either, since that would more than double my shipping costs (I'm in Belgium). When customers ask me for a tracking number I explain to them that I don't have tracking to keep their shipping costs low. BUT I will compensate them should a package gone lost. I have this stated in my policies too.
If you communicate in a clear, polite and professional way, your costumers will usually be happy and grateful for your commitment and your help.
Good luck!