If you receive a reply from a personalized bulk email (PBE) you’ve sent and cannot find the replying email address anywhere in your contacts, the most likely cause will be that you are sending to an address that auto-forwards to another address.
One thing you can do to find the correct contact in your account is to look at any personalized entries (e.g. “Hi [sFirstName]” turns into “Hi Amy”) and search for any contacts that match (e.g. any customers entered that have a contact named “Amy”). Another good reason to be personalizing your email blasts! (see: Reduce the Risk of e-blasts Getting Tagged as Spam)
Once you match the new address to the customer profile, be sure to update their email address in SE.