This would really depend on the settings that are in place for your mail server and client. If you are using a mail client like Microsoft Outlook, it is very unlikely that the messages would simply deleted themselves once downloaded locally. If you are certain that they are spam, however, there is a chance that they may have been removed if you ran some sort of program that checks for viruses, trojans, etc.
There is a chance that a program like this may have flagged the downloaded messages and removed them.
Darius Cubbage / Technical Support Analyst / Hosting.com