According to the band's singer, Stuart Murdoch, they stopped to buy water before pulling over for the night.
"I was coming out the Walmart and he was coming into the Walmart and he was waving very happily in a good mood and that was the last time that we saw him," he told a Minneapolis radio.
"He was probably thinking that someone was going to notice but the trouble is that everyone went to bed."
The band was already into the next state when they realised they were missing a member.
"There used to be a system, but because we all have mobile phones these days, everybody's got a little bit blase," the singer told the radio station.
"It used to be that you would leave a pass on the passenger seat for the last person and that's how the driver knew."
These days, they don't use signs anymore as everyone has cellphones but Colburn did not have his phone on him.
After noticing the absence, Murdoch tweeted that the drummer was missing.
"We didn't know how we were going to get him from that desolate spot to St Paul, so we tweeted and lots of kind people tweeted me back saying 'I'm in Fargo, maybe I could get there, I'm in Bismarck, maybe we could work something out'. I even had a friend who was driving down from Winnipeg on the way to the show here."
Thanks to the kindness of fans, they managed to locate Colburn and have him join the band.
"So currently we have him in a car driving to Bismarck and the only question is will they let him on the plane with no ID and in his pyjamas."