In Annabelle: Creation, where did Annabelle go after she was locked in the closet with the doll? When the closet was opened she wasn't there.
Based on your question, it sounds like you're talking about Janice, the crippled girl, not Annabelle which was the doll.
After the police arrived, they opened the closet that Janice had been locked in and found only the doll and a hole in the back wall of the closet. At some point, she had broken through the back of the closet and run away. Janice pops up again at another orphanage, now going by the name Annabelle. The idea I got was that she never revealed her real name, Janice, to whoever found her and the police looking for her don't know that she's in another orphanage going by a different name. The doll itself was still in the closet.