This is actually a bad sign if there was a failed delivery. I had this happen to me in Paris, and BA actually did sent the bag back to Melbourne, Australia which was the originating airport.

My suggestion is to ask BA who their couriers are, and contact them directly yourself, and ask them to re-deliver the bag or collect it yourself.

Find out where the bag is asap via the couriers as your first point of call (ask them for your baggage reference numbers), or the bag could be sent back to the originating airport.