Thanks for the interesting article.

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Extra Giant Planet May Have Dwelled in Our Solar System
http://www.space.com/13584-extra-giant-planet-solar-system.html

Within our solar system, an extra giant planet, or possibly two, might once have accompanied Jupiter, Saturn, Neptune and Uranus.

. . . .
If that were the case, then where did they go?!

The article also states that "a large number of free-floating worlds have recently been discovered in interstellar space, . . . ". I know that extrasolar planets have been detected, but around other stars, and there are small objects beyound Neptune and Pluto, but free planets traveling among the stars?!

From SwRI - http://swri.org/9what/releases/2011/giant-planet.htm

http://Earth'sky.org/space/was-a-fifth-gas-giant-ejected-from-our-solar-system


An article is supposed to be published in The Astrophysical Journal Letters this month, but I haven't found it.
 
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Google Scholar has indexed one article with that title and a followup citing it. I think this is the one you are looking for. ApJL would have been indexed quite quickly so presumably they have yet to publish the article ... "this month" has a wee ways to go yet :)

As for where the planets went ... what's wrong with "away"?

Where to look would depend on the details of how and when they got ejected whether originating from the young solar system or just passing through.

afaik: there have been no direct observations of rogue or orphan planets - evidence seems to be indirect as in:
http://arxiv.org/abs/astro-ph/0701474
(Go get the pdf - discusses jovian rogue planets dominating inner-halo galaxy mass densities.)

If you are thinking this is a highly speculative field - I think you are right.
But that is the fun of cosmology and astrophysics.
 
Some early models of the solar system have dozens of planets, perhaps over a 100, forming around the Sun. These early planets collided and grew larger, were torn to bits (see asteroid belt), *were ejected out of the solar system by gravitational interactions with the other planets, or survived to present day. It is very likely that there are billions of interstellar wanderers lurking in the galaxy virtually undetectable. I am completely unaware of any actual discoveries of any such planets, but I have no doubt they exist. They may even harbor life deep under frozen oceans or deep within the crust closer to the core. Personally, I'm more worried about wandering black holes, but that's just me.*
 
http://arxiv.org/abs/1105.3544

This study was published in Nature earlier this year. They looked towards the galactic center and studied microlensing events. Visual studies of the area seem to suggest that many of the ~Jupiter mass objects spotted are not bound to any object.
 
A large planet being ejected from the primordial solar system is also thought to be a possible trigger for the late heavy bombardment period.
 
Two thoughts/questions come time mind:

1) When did such a large planet depart?

2) What was the trajectory? Was it more or less coplanar with the ecliptic?