I thought it was just a room in the Catherine Castle, did they move the entire room somehow? Or was it deep underground and people forgot how to get there?
It was a room allegedly made up of amber with many valuable gems and whatnot embedded within the amber itself.
The legend goes that the Amber room was dismantled (the amber peeled off or popped off the walls) and then loaded into a train car which then disappeared. So given that context it would be extremely easy for the room to go missing because of a few industrious individuals.