Bernstein Research analyst Toni Sacconaghi thinks that over 25% of iPhones sold in the United States may have been unlocked. Sales numbers from Apple and AT&T revealed about 1.45 million phones were “missing in action” at the end of 2007.

AT&T is thought to hold 480,000 handsets as inventory, leaving another 1 million phones, or 27%, that Sacconaghi said were unlocked so they could work on non-AT&T networks. Apple has refused to say how many iPhones are unlocked but said the number is significant.

Phone companies that carry the iPhone must share service fees with Apple. So far, Apple has chosen one mobile carrier per country to be the official carrier of that country. When an iPhone is unlocked, Apple loses revenue because unlocked phones use carriers other than the officially sanctioned carrier. Unlocked phones could cost Apple millions. For example, if Apple reaches its goal of selling 10 million iPhones by the end of 2008 but 30% of those are unlocked; Apple would lose $500 million and 37 cents per share.

“Besides the financial implications, we believe the prevalence of unlocked iPhones presents a significant strategic dilemma to Apple,” Sacconaghi wrote.

Apple is currently negotiating with carriers in Asia to make the popular iPhone available to new markets. A few weeks ago Apple failed to find common ground with the world’s largest mobile carrier, China Mobile. An anonymous source at China Mobile said that Apple was asking to share too much service fee revenue.