When your sell order expires, your item(s) just sits in your market account. It does not get returned to you via the mail unless you specifically select the item and then click on the bottom Withdraw button.
When your buy order expires, your credits are returned to your market account balance, again no mail is sent to you. If someone fulfills your buy order, the item(s) are sent to you via mail and you have 14 days (from the date the order was fulfilled) to collect it from your mailbox.