It sounds like you are not that experienced yourself, so its hard to beat you up too bad. But you both learned some lessons. All you can do is try harder next time.
A dead deer 40 yds from where it was shot should be a recovered deer. No surprise it went into thick stuff. Don't just stare at the ground when tracking. Often blood will be on grass or other stuff a couple feet off the gound. If tracking fails you, go to a systematic approach. Do grids or circles from the last sign. Check every piece of thick cover, downed tree tops, brush piles etc. Many times deer run to small pieces of cover in large openings, like a lone tree in a field. Be sure to check sources of water. Wounded deer, especially gut shot deer, often go to water. If that fails, get help from friends if possible. Sometimes a guy that was not there to see where the deer was supposed to have gone will take a different approach, and there's nothing bad with more eyes looking.
Keeping up the search when you have found no visible sign can be tough. It is tempting to think the deer is not hurt. This time was a little difficult, because you were not looking through the scope when the gun went off, and you're dealing with a beginner. Be sure to encourage him so this event won't be the beginning of the end of his hunting.