That's a myth. People talk about it all the time as a possibility, and that is all it is. With the volume of international travel, the odds of your particular luggage not making it are about the same as your plane going down more or less.
I take on an average of four (well used to, canceled two so far ,two more coming up) international trips a year. Have yet to get any luggage lost since I was 15 (when I started traveling alone internationally). Once in Turkey, a few years ago, my Tuffpak got put on a later domestic transfer flight and arrived a few hours later. Not a big deal. That was the only glitch.
Mostly I use wildcat cartridges, I don't sweat the rare possibility that my luggage with ammo won't make it. The firearms have a higher chance of getting stolen.
Now, I do take precautions and try not to do flight transfers in places I don't trust (for example no stopovers ever in Italy). My luggage is also sturdy so it is not going to get ripped up by the luggage systems.