I am guessing that since the OP states he cant use mods he is playing either on the Xbox or PS3 and used the pickpocket perk to get the item in question
To my knowledge items not showing in the inventory cannot be pickpocketed. Even if you use certain 'tricks' via console or scripts to unequip everything that a NPC has, some items are never properly shown nor can be transferred.
Maybe he plays Skyrim on a shared computer and the other owner(s) don't fancy MODs.