Deric Voelker and his fiancee recently flew from Chicago to Las Vegas recently on Southwest Airlines. The airline lost one of their bags, so they filed a claim, expecting to be compensated. They weren’t.

Their story is cautionary tale about the importance of paperwork in an almost paperless world of e-tickets, e-mail and in-flight Wi-Fi.

Voelker’s fiancee, Sophia Prochazka, checked her bag the way you normally would. “A tag was printed and placed on the bag,” he recalls. “It was a direct flight, we checked in in plenty of time flying under the same reservation, and I claimed my bag in Chicago.”

Once they discovered her missing bag, a Southwest employee assured them they’d find it. After all, it was a direct flight. They filed a claim and waited.

For the five days that we were in the Midwest, we called Southwest every day. They never found the bag, but the people that we talked to gave us every indication that she would be reimbursed “something” for her expenses/lost bag. When we returned to Las Vegas, the phone calls went on for another couple of days and then it was requested that she write a letter, and then fill out some forms. We patiently waited, because Southwest said the trace on her bag takes 30 days. Last week, over two months later, we received a letter denying our claim.

Why had Southwest turned them down?

At this time, we have completed a careful review of your claim documentation and the information in your lost luggage report. Since our liability for a baggage claim is determined by the terms and conditions of our Contract of Carriage we do not arbitrarily pay every claim that is submitted. The baggage claim check serves a critical dual purpose in the claim process, as it is the Customer’s receipt for tendering luggage and is also evidence of the airline’s liability for it. Unfortunately, because of the absence of a Southwest Airlines baggage claim stub we are unable to take action on your claim.

Translation: You lost your claim check. You’re out of luck.

I recommended Voelker contact Southwest again to appeal its decision. He did, and it repeated its denial, despite a polite petition to a manager.

Lesson learned: Keep the receipt for your luggage, even if your airline goes through all of the motions when you check in.

I think Southwest could have done better. If nothing else, one of its employees should have told Voelker and Prochazka that they shouldn’t even bother filling out a lost luggage claim.

Because without a receipt, their bag never officially existed.