The Amber Room was one of the greatest monuments of raw blingitude ever constructed. It was a room panelled in hundreds of kilograms of amber, with precious stones all over the place, built for the Russian Tsar Peter the Great- because what's the point in being the Tsar if you can't have a room made of amber?
The Amber Room seems like a difficult thing to lose what with it being part of a building, but to the Nazis that just seemed like a challenge.
They looted the hell out of Catherine Palace in 1941 and removed the entire contents of the Amber Room. Then it went to a castle for some German officer to scowl at through his monocle.
After that, no one has any idea. Maybe it was destroyed in an air raid, or buried somewhere by retreating Nazis who are now all dead. Maybe cyborg Hitler uses it as his rumpus room. No one knows.