No one knows what happened to it. The earliest historical records mentioning the pyramids point out the missing capstone. So if it was stolen, it must have been stolen thousands of years ago. Some have suggested that it never had a capstone in the first place. It was either not finished, or just purposely left off for some reason.
Well let's jump ahead in history to around the 18th century AD, when Freemasonry started to become a popular gentleman's fraternity. One well known Freemasonic symbol is a depiction of a pyramid with a glowing capstone with an eye on it hovering above the top of the pyramid. It is called the 'All Seeing Eye' (or is sometimes called the 'Eye of Providence'). They adapted the symbol for use on the Great Seal of the United States, and in the 20th century, they added the symbol to the back of the one dollar bill.
One popular theory conspiracy theorists have put forward for the meaning of the symbol is that the hovering 'All Seeing Eye' capstone symbolizes that the Freemasons haven't completed their master plan yet. In other words, the incomplete pyramid symbolizes their incomplete plan...although it appears to be nearly complete. However, I don't think this is the intended meaning of the symbol. To understand what I think the intended meaning of the symbol is, we must first take into consideration the missing capstone on the Great Pyramid. Essentially what the Freemasons have done is drawn in the missing capstone of the Great Pyramid as an all seeing eye of Ra, or Horus, or God, or whomever you want to associate with it. So symbolically, they've drawn in what we don't see when we look at the Great Pyramid....the All Seeing Eye. The All Seeing Eye can see you, but you can't see it. In other words, even though you don't actually see God with your eyes, God can still see you.
Now whether this is what the Egyptians intended it to mean, or if it's just how the Freemasons have seemingly interpreted it, I don't know.