While Lorelai checks the car to see if the bracelet is there, we see Jess outside, staring at the bracelet with a look of unhappy disillusionment. All this time he has been cherishing it as a memento of Rory, something which has actually touched her skin. He must feel such a fool when he discovers he’s been unwittingly sighing over something Dean made for her, and probably concerned when he realises that losing it has upset Rory and caused her to worry about Dean’s reaction.
Jess is actually wearing the bracelet on his wrist, so he has made no effort to conceal that he has it, and both Rory and Lorelai have seen it without realising its significance. Jess wears several leather bracelets, so it doesn’t stand out, although he has been careful to wear Rory’s bracelet on a different wrist from the others. Talk about hiding in plain sight!