Your thought is half correct: "been missing" is one correct way to say that. But "gone missing" is also correct. Don't forget that "go" can mean "to come to be in a certain condition." For example, "She has gone crazy." means "She has become crazy."
However, you are very perceptive to notice that "gone missing" somehow isn't correct. I asked several friends, and we all agree that "gone missing" sounds informal. I heard it when I was a child, but I lived in a small town in the southern United States. Now that I'm in college, I never hear it. You should certainly use "it has been missing."
You could also say "it is missing." The difference is that "it has been missing" means that it has been lost for a while, while "it is missing" simply means that it is lost now and does not tell anything about how long it has been gone.
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