This is rare, but when it does happen, it can be fairly alarming, so remain clam. If you are coughing excessively or having difficulty breathing, the piece could have been aspirated.
If you are able to see the piece, you may carefully attempt to remove it. But do not make the attempt if you could cause harm.
If appropriate, examine the braces for problems that may result from the missing piece, such as looseness or irritation, and treat as specified above.
If you are unable to see the piece and believe it may be have been aspirated, notify your orthodontist immediately.