Database Record Disappear

I has a strange question.

My company is using a old system with Win NT 4.0 Server + MS SQL 7.0.
The system is busy and handle a lot of SELECTs and INSERTs all the time.
Sometimes, some transactions are blocked by some other transactions.
For those INSERT transactions, we usually call a stored procedure and pass
parameters in to do the INSERT, at the end of the INSERT stored procedure,
we always check @@ERROR = 0 and retrieve the @@IDENTITY (it is usually the
auto number primary key) to confirm the INSERT is success. But the strange
things is, sometimes, @@ERROR is equals to 0 and I can get a value from
@@IDENTITY but when I fetch the record by the primary key (the value of
@@IDENTITY) it returns nothing!! The record is disappear and the primary
key is skipped! I found that this happens usually when the INSERT execute
at the time when some other transactions are blocking. Anyone knows why the
record is disappear while @ERROR = 0 and the stored procedure can return
value from @@IDENTITY?? Anyone has such case happen in their server as
well? Please tell me some solutions on how to solve this, thank you x
10000000 times.