Photos are not in Lr. Photos are on the hard drive - wherever they have been put - and Lr references them in its catalog.
The catalog contains also the thumbnails, so you can see them even when an image has been deleted from the hard drive, provided that the image has not been deleted from within Lr.
Lr also builds the previews and they will still be present (that's what you call "expanded"), although the image file is gone.
If your HD search (via Mac Finder or Win Explorer) did not locate the images, then the sad conclusion is that they are indeed not on the hard drive. Do not forget to look in the Recycle Bin / Trash Can.
There is a program that can extract photos from the previews. See here: http://helpx.adobe.com/lightroom/kb/extract-previews-lightroom-4.html
For more see also this thread: http://forums.adobe.com/message/4546698#4546698