I also get this from time to time. As @msau4301 said, if you shipped tracked to the address provided in the ebay transaction you are good.
If it is not tracked, or you shipped it to an address other than the one provided to you by eBay, you are out of luck.
Bit of a tangent, but I have had a few where someone in the US wants an item shipped to another address due to a move, etc. In that case we have agreed to cancel the sale and the buyer can then update his eBay ship to address and I relist it as an exclusive to them listing with immediate payment, and that works well.