It is one thing to get your autosomal DNA results back and see a new first cousin, half-sibling, etc. That can be a surprise.
But have you reached out to any of your siblings, first and second cousins, etc. to see if they have done an autosomal DNA test? If they have tested at the same company as you, then they should show up on your results list. Relatives that close, if they have an autosomal test at the same company as you, should show up on your results list.
If they do not, there is a puzzle to be solved.