Oh wow, I hadn't spotted this! Gosh, I'm blind at times.
Hmm... I thought it was actually a part of him... but I guess that just means it kind of fits over his arm? I suppose that makes it like a majory-overpowered-clawshot-of-sorts. Cool. And considering he fashioned the Compass of Light, I'm guessing he had a hand in making it too (excuse the pun XD).
But yeah, I'm with Ark and Bige- they probably took it off while he was healing, the way you'd take someone's armor and helmet off after they'd been injured in battle.