post all of your system specs
try opening up Windows Search and searching all available drives. it could very well be in a folder you don't recognize. and you don't state what/how many drives or partitions you have.
Rockstar Games Launcher can install games to a default location just like Steam so you may not see Grand Theft Auto folder in any base directory.
you could have anti-virus/malware software installed that deletes or quarantines any unapproved files.