This answer can be found here:
"In Majora's Mask, there is a Takkuri bird near the entrance to the Milk Road, that takes some of your items. If some of your items get stolen, you can go to the Curiosity Shop in West Clock Town, open 10pm to 6am. Your sword will be for sale there. You will have to buy it back to get it. Or, you can just play the Song of Time and return to the first day. Your sword will be back with you."
you will lose items ( other than your sword) if you play the song of time before getting them back. Just kill it ( which is insanely hard) and next time ride on Epona as he ignores you if you are on her