The Pentagon has "failed" their audit, by trillions of dollars, for over a decade. Most of us have no idea why, how, or where that money went. Out of every part of the show, the idea that the US Military could keep it a total secret from even 99% of the government is the most plausible bit. Consider this - it was an "interesting" research find in Egypt. The US Military convinced (paid) the Met to acquire it (the Met put out a fake and provided a false history, which is what Daniel was working with at the start of the movie). The real thing, lacking the DHD, was brought to what would become SG-1.

Who would ever know? Why would they ever know? Why, in fact, would they ever think to look? Everyone is so thoroughly bullshitted by decades of Egyptology, UFOlogy and Ancient Aliens theories (including von Daniken), that they'd never imagine looking for one machine run by the US military that they don't talk about.