Beyond being a problem for people who seek to change or adjust status, the lost I-94 can cause headaches for people who leave the US: from CBP’s website –

 If you returned home with your Department of Homeland Security Form I-94 (white) or Form I-94W (green) Departure Record in your passport, it means that your departure was not recorded properly. It is your responsibility to correct this record. You must provide U.S. Customs and Border Protection (CBP) sufficient information so we can record your timely departure from the United States. This will close out your earlier record of arrival to this country.

If you do not validate a timely departure from the United States, or, if you cannot reasonably prove otherwise when you apply for admission to the U.S. in the future, CBP may conclude you remained in the U.S. beyond your authorized stay.  If this happens, the next time you apply to enter the U.S. your visa may be subject to cancellation or you may be returned immediately to your foreign point of origin.

In particular, visitors who remain beyond their permitted stay in the United States under the Visa Waiver Program cannot reenter the U.S. in the future without obtaining a visa from a U.S. Consulate. If this occurs and you arrive at a U.S. port-of-entry seeking admission under the Visa Waiver Program without a visa, CBP Officers may order your immediate return to a foreign point of origin.

If you failed to turn in your I-94 Departure Record, please send it, along with any documentation that proves you left the United States to:

• ACS - CBP SBU
• 1084 South Laurel Road
• London, KY 40744

link to full text of Q&A.