Where is my bird? Please read to understand?

I bought a new bird a few days ago. I've never had a bird before, I only had a dog. Soo today i let my bird outside to go to the bathroom, and when it was time for him to come back in I would yell his name and he hasnt came back. Is this normal? I was told he's just scared because he isnt used to his new home/surroundings.