Missing data mappings in mygene.info while trying to convert Genes Ensembl Ids to Entrez Ids
As others have mentioned in their answer, bioMart is usually the best place to go for this infomation because it draws its data directly from the Ensembl database. 

However, you will find you do not get a full translation of Ensembl IDs to Entrez IDs even there. The reason for this is there simply does not exist a simple 1-to-1 mapping of Entrez IDs to Ensembl IDs: they are not just different names for the same thing, but are actually different things. At some point someone (or more likely some algo) has decided that the structure Ensembl ID A is referring to is similar enough to the structure that Enztrez ID B is referring to to link the two together, but such a linking is not always possible.   

In the example you gave, the Ensembl database does not list ENSG00000267809 as being equivalent to 4730, neither does the Entrez database list the opposite, even though both genes have the same name. Because of this, it is very unlikely that any service you use to convert the IDs will pick up this match. 

In this particular case, the reason for this is probably that the gene is a processed pseduo-gene and is not annotated in Refseq/NCBI as producing any transcripts.