Well, to be more specific, wordpress has lost it.
I have a current WP install with fully updated twentyeleven theme that I'd noticed sometimes displayed a missing header. I thought something had happened to one of the custom headers I'd uploaded, but when I went to check which I discovered it was actually the chessboard default image has gone missing.
I expected the issue to simply be the file was gone or, even more likely, that its permissions were wrong. Neither. twentyeleven/images/headers/chessboard.jpg and chessboard-thumbnail.jpg are present, accounted for, and looking fine. It would seem that somewhere in the php is the issue.
I'm no PHP expert though, I can usually follow what I'm looking at, and it seems fine. I found the line referencing the chessboard and it has
'url' => '%s/images/headers/chessboard.jpg',
I suppose I could edit that to point directly to the image with a bunch of silly hardcoded nonsense, but that just seems a great way to have a new headache some point in the future.
It's not a huge problem, I use the random rotation feature of the theme, but it is pretty silly looking when the choice rolls up as chessboard. I've googled and googled for this and every combination of terms I could think of gave me an hundred answers how to remove or replace the default headers, but none of them looked very helpful for repairing one.