If you have not yet shipped the order and the buyer says they cannot receive the order at the address they provided originally, you should cancel the order. The buyer can then return to Amazon.com to place a new order using the correct address. Amazon’s policy requires sellers to ship only to the address provided in their seller account.
If you have already shipped the order to the address provided with the order, the way you choose to handle the situation is ultimately up to you. Here are a few solutions you might want to consider.
For future orders, consider using package tracking or purchasing insurance from your shipping carrier if you are concerned about absorbing the cost of a lost shipment.