Have you had a close look at the shell ? If it is thin or absent at one end the nut may have rotted away. Called walnut soft shell it is probably caused by an erratic water supply when the shell was forming.

A passing squirrel by any chance?

Squirrels would remove the whole thing, Grandmage, including the shell, not just the nut inside - and the evidence would be all around the base of the tree, lots of smashed shells... you should see the underneath of the chestnut tree in our garden, looks like a car crash!

Bit like my cob nut tree too!! We have never managed to eat one in fifteen years or so, Was only a suggestion!