Same thing happened to me last year with my EAD card. I got an email saying it was returned to them as undeliverable. Pretty much the same language as what yours said. No letter though, just the email update on my case status. Of course I called- and tried to make them verify my address. To make things worse, the customer rep on the phone couldn't 'verify the address', that is to say, they said- they could not give out the address they had for me. Rather, all they could do was take down my address over the phone and update it on their system. So that just made me wonder- how the hell am I to know which address they mailed it to? And nope, I never had a change of address or anything. Always at the same place.
Finally they said they'd send out another card. Weeks go by and nothing! In the end, I had to contact my local congressman and ended up getting the card within 10 days of doing so.
As much as I'd love to blame USCIS on this matter- it's really not their fault- it's the post office's fault. It happens sometimes. After that incidence, while telling the story to some friends/relatives, it turned out they had mailed me things I had never received. I just didn't know about those since I was never expecting them.
Anyway, went to the p.o., complained, left notes for the mailman in the letter box. Thing is, the postal system here (and my work deals with the US Postal Service very closely) is quite unreliable and horrendous. If something is lost, it's lost. Good thing it's atleast USCIS mail- which I'm sure they take extra precaution in returning to them. Hence you at least know it was returned to them as undeliverable. I'd say most misplaced mail just mysteriously disappear altogether. And yes, if mail is returned to the original sender, it takes ages. Usually our mail, if returned to us at all, (I'm talking about work here), takes about 4-5 months to be returned on average.
I hope you get yours soon- but be very diligent about it. The USCIS kept telling me they were going to mail another one out to me and nothing came. When I finally did get it, after contacting congressman, they had sent the original returned envelope (had the post mark and the yellow 'undeliverable' sticker) inside a bigger one. And the address was absolutely correct- so I knew it was p.o.'s fault. Of course, USCIS wasn't too hasty in making amendments either.
GREENCARD Rcvd: 05/02/06 (Perm resident since 3/19/06)
01/09/11: FP Sent
01/25/11: FP Date
01/24/11: FP Walk-in
02/18/11: Case Transferred Email
2/25/11: Interview Letter
5/6/11: Oath Ceremony