I had the exact same experience with my green wolf eel. The day I bought him, I went out of my way to cut custom plexi shields for all the holes in my tank and velcroed them into place (my roommate had a SFE before and he always managed to find a way out).
I had him about a week and he disappeared - turned out I forgot to put one of the doors back on after feeding. CRAP!
Anyway, I hadn't seen him in almost three days and thought for sure he jumped out of the tank and one of my dogs (2 rotts, one lab, one wolf) turned him into a tasty snack.
I finally decided to get bold and search the substrate (takes delicacy because I also have a red vol lion - turns out I'm not allergic to neurovenom
).
I found him hiding under a rock, just like your picture. He hollowed out a little cave under the rock and it is now his permanent home.
After more research, I've found that the opinions are about 50-50 on whether wolf eels are escape artists, but I'm not taking any chances.
Eels are so funny. Theire great additions to tanks; I hope you're enjoying yours as much as I am mine!
P.S. Before anyone jumps me for calling him an eel, I am well aware that technically, the green wolf eel is a member of the blenny family, but displays the same personality characteristics of the moray family.
~John