Steps to reproduce:

1. Start a new world, place two command blocks. First is repeating, pointing into second which is chain.
2. Enter the command "/execute @e[type=egg] ~ ~ ~ /give @a egg" into the repeating command block.
3. Enter the command "/kill @e[type=egg]" into the chain command block.
4. Make sure you have exactly 1 egg in your inventory, on your hotbar.
5. Make sure you are in adventure or survival mode, make sure the commands are running and throw the egg.
6. You should no longer have an egg on your hotbar. Open your inventory, click the (Now empty) slot that held the egg before you threw it.
7. You should now be holding an egg on your mouse.

Also note that while the phantom item is in your hand, you cannot use it (As far as I can tell anyways). It only pops into existence when you try and pick it up with your mouse.