Personal opinion is that they were attacked, either by one of the Amerindian tribes (such as the Roanoke), or by the Spanish. Otherwise, they could have written some sort of message explaining what they were doing—although they were delayed, the former colonists who have traveled back to Europe were supposed to come back.
It was a wilderness and all they had were trees to write on. And besides, they were guys...who needs maps and stuff?
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Seriously, maybe they did and it disappeared or it was never found. Perhaps it was wrapped in oilcloth and buried under the tree “Croatan” was written on.