Numbers are usually stored on either the sim card or the phone's internal memory (not on removable storage, though there are applications allowing you to back your numbers up to such memory and restore from there) - and there's usually an option to transfer from one to the other, and you can set either as default.
I'm not familiar with this HTC transfer you mentioned but I'd imagine it transfers numbers from internal memory of your old phone to internal memory of your new phone - so any that are missing should be on your old sim card.
Whether you manage to retrieve your numbers or not, for future ease make sure you set either your sim card or your phone as your default storage and transfer any that are on the wrong one. If every number is stored in the same place on your phone it'll make life much easier when you change phones again in a couple of years' time. (And consider using a backup facility, as mentioned above, to backup your numbers to either SD or cloud.)
