Well their could be many of reasons why Gamefly has not yet recieved the game. but According to Gamefly rules, if it does not get to one location or the other (i.e your house or the company) after 14 you can report a shipping problem, which is located under "My Account" on the left hand side under "Report a Shipping Problem". Their you can following all the steps to get it resolved.
I think the game probably got lost in the mail, GameFly is good about telling you when games show up to their warehouse...so if they say it isn't there you should contact them to tell them there is a problem. The customer service is usually pretty helpful.