This happens more often than you may think! You should go to the hospital for an x-ray to confirm it's location (or lack thereof), and possible removal. Any foreign objects can go where they're not supposed to and can cause serious damage or infection. I would not delay treatment over embarrassment.

Are you having any pain or bleeding via your anus? Any fever? It's possible for such an object to cause tears in the rectal lining which may lead to infection. You should consider going to urgent care or an emergency room just to have a healthcare provider check you out. I know you think it's embarrassing, but believe me, urgent/emergency care folks have seen much worse and this will not phase them! Dave Gordon, M.D.