From what I understand, there were reports of a "last-minute" addition to the cargo ... a quantity of large heavy crates guarded by SS-troops, who were also placed aboard as guards. The rumors were handed down and persisted that inside the crates was the disassembled Amber Room.
Who knows ... it is one explanation. It seems strange that few (and then only very small) pieces of the room have ever come to light after the war.