Holding item while exiting game

This is known for many years and although most of times it could work it is never recommended to leave a game and create a new one while holding an item into your hand because you could loose it. This is most likely due the fact that you are still able to pick other items although your inventory is full and blizzard shouldn't have allowed to carry more items in that case because when you're holding that item and you leave the game the save file doesn't really have a record for that item since it's not stored in neither of your character's available slots so bring in a mule character into the same game since you're allowed to open multiple game instances here anyway and trade the item to your other character instead. As the game designers always recommended store your items inside your inventory, cube, stash, etc before leaving the game and not keep them in hand or leave them on the ground in a non-perm game. Also make sure to always use the trade window when muling any expensive items in between your characters.
If one day there will be more information about this then we will definetly take a look at it.