The activity is fun for young children but might be used to inspire imaginative stories with adults, as well.
Try this with a class you are comfortable with, and one which you think will cope with the situation. Also try to add a little humour where possible, ensuring that the children are aware that the situation is not real, and that you're only pretending.
Choose a name for a missing person. Example: John, making sure that this is not the name of someone in the class. Before the lesson, put a chair in an empty space in the classroom. For the purposes of the lesson, and pretend that this space is where "John" sits.
Ask students where "John" is. They will probably look at you as though you are mad, but continually ask them where "John" is today. Tell them that he normally sits in his space (point to the empty chair) and that he was there yesterday, but he isn't there today. Insist that they tell you where he is. Hopefully someone will make up a reason why "John" isn't in today. Argue with them, saying that you have heard differently. Ask if anyone knows anything else. Ask who was the last person to see him. Continue like this for a while, with the students explaining where he is.
Finally, because John is missing, tell younger children that the class will have to make some missing person posters. Explain who "John" is (with a picture so others can identify him), where he was last seen and who to contact if he is found. When these are made, you could post them around the classroom or school.