AWS IOT thing packet missing

Hi. It's not clear from your question what your architecture is, but please be aware of AWS IoT Core quotas, especially these message broker limits: https://docs.aws.amazon.com/general/latest/gr/iot-core.html#message-broker-limits. You may be getting throttled. As an example, the "Publish requests per second per connection" limit means that for any one client/device connection, only 100 messages per second is possible.

Is it because lots of devices are connected to a single thing?

Devices don't connect to a Thing in the IoT Core registry. They connect to the IoT Core endpoint and the message broker, as a particular client ID (and that usually matches a Thing name). It's not possible to have multiple connections using the one client ID. Each device will have a unique client ID.

Can you please elaborate on your architecture? What is publishing to the topic and what is subscribing? How many clients are subscribing? You mentioned your EC2 instance, but it's not clear if it is a publisher or subscriber. How many messages per second are you trying to publish to the topic?

I used Thing API directly

AWS doesn't have anything called "Thing API" so can you please provide more details?