When he was a child, he would purposefully get lost on the downs of Sussex, forcing his governess, his brother, eventually the entire household, and sometimes the official force to come find him. He enjoyed the small, sweet challenge of escaping them, and then arriving home on his own, unscathed.
Now perhaps he is getting lost again, only now without purpose, lost in sin and in black depravity. Or perhaps he is lost in companionship and in something that is, to Sherlock Holmes, altogether more alarming than sin.
The difference is, of course, that now he is lost with company.