Then you are dead. But, what if you weren't disoriented before the search, and the search disoriented you. Then, you are also dead, but you might could have lived. You should always try to give yourself as much information as possible. When you get back to your marker, it is good to have a reminder of which way you originally thought was the exit--perhaps, you originally put the arrow the wrong way. After swimming a bit looking for your lost buddy, you realize you were wrong. Then you get back to your arrow in the complete silt out I caused by typing the words "complete silt out" in this post, find your arrow, and say "ah, ok now I head the opposite way." If you had returned to a cookie, you'd say "oh shoot...I know I was wrong about which way was out before, but now I can't see, and I'm disoriented, and have no clue which way that was that I was wrong about..."
And, a personal arrow should not be a matter of confusion for other divers. It is easy to tell by feel that an arrow is a personal one, rather than one of the larger "gold line" arrows, especially if divers do the prudent thing and personalize their markers with notches or holes, so divers can tell by feel if it is their arrow.
If you really must use a cookie, I would reccomend using a "directional cookie," ie, a cookie modified to be directional. Not nearly so arrow-like as an arrow, but it still signified some direction. This way, there is not any chance at all that any foolish diver would be confused by your misplaced arrow, but when you return to it, it will clearly indicate which way you thought was the exit originally.
You could also use a light and use it as a directional marker, but that only helps in clear water, and only in straight tunnel. You should always run a reel if you are going off of the mainline. Also, leaving a light means you only have one backup if your primary fails, which is something to think about.