In fact it has run away after Randall Skeffington put it through a rough time by having sex with Karen, a strange creature of an unknown species. Later Officer Boyle from the Port Authority Police calls and tells Randall that his penis was found when it tried to board a bus to Buffalo without a ticket.
Finally Officer Boyle returns the penis to Randall, but only on the penis' conditions that Randall does not treat it as a plaything and respects it as equal.
A series of pictures during the end credits show where Randall's penis (in fact, with the testicles) has been after it has escaped.
In "Kong of Queens", after Randall has replaced his lower body, he picks a long penis for himself.