He probably went down into Oscar's can for his blanket, but instead of getting the blanket, he got sucked away into some far-off and grouchy place and he's never going to...
8 seconds sound clip from the The Adventures of Elmo in Grouchland movie soundboard.
You can hear this line at 00:23:03.659 in the Blu-ray version of the movie.
Quote context
[...]
- Shh, shh, okay, okay. Look, maybe I can help you. Follow me.
- Okay.
- Me having a bad cookie day. Oh, me head!
- Oscar said that Elmo is gone.
- Telly, easy Telly. Oscar probably just meant that Elmo went home, that's all.
- No, actually the worrywart's right.
- What?
- Yep, Elmo got sucked down through a door in my can to Grouchland, USA.
- Grouchland, USA? Where's that?
- This is terrible. What are we going to do? What are we going to do?
[...]