Sticky note saved but cannot be found
Assuming that you're talking about the native Stickies app that's part of macOS, all notes are saved in the StickiesDatabase file. This file is located within the user's Library folder, usually located in Macintosh HD/Users/yourusername/Library.

If you can't see the Library folder, then follow these steps:


Click on the Finder icon in your Dock (usually the very first icon)
In the Finder window that appears, click on your username in the Sidebar (see note at end if it's not listed)
Now go to View > Show View Options (or press commandJ)
Now tick the Checkbox next to the Show Library Folder option (it's the bottom checkbox - see screenshot below)





Now your Library folder will be visible


NOTE: If your username is not visible in the Sidebar, then go to Finder > Preferences, select the Sidebar tab and then select the checkbox next to your username at the bottom of the Favourites list.

Finally, if by "saved a Sticky Note* you mean you exported it, then by default it'd be saved in your user's home folder unless you navigated to another location when you saved it. In this case, do a search using either Spotlight or Finder's commandF option for the filename you saved it as. 

Alternatively, if you don't recall the filename, you can search by the date (or date range) you last saved/opened/modified the file, the contents of the file (assuming you remember some of it), and even by the kind of file (by default Stickies will save as a plain text file).