LT Grey ,
What you have just witnessed was one of dem new fangled Mobile Treehouses for squirrels on the move. Rumor has it that some of them southern squirrels have figured out how to put trailer wheels and hitch to make mobile treehouses easier to transport their tree to that nice new tree-trailer park down by the interstate. ( you might notice the place , the one with all the trees with the wheels taken off and old beat-up bird houses sitting up on concrete blocks in the front yard )
Not a real nice place , all kinds of young-uns running all about the place , piles of half-eaten acorns dumped on the ground from the party last weekend , welfare squirrels mooching on the free food at the house down the street with the bird feeder , squirrels getting wasted eating fermented apples from the farmer's tree , flying squirrels coming at all hours of the night and making a racket and big piles of chewed insulation that the trash company has not picked up in 2 years.
I would not go down there to try to get your trap back , I have heard stories about a gang of Los Lobos red squirrels down there that will bean you with pine cones if you try to mess with them.