Jamieson, Fausset and Brown on 1 Corinthians 5:9

9. I wrote ... in an epistle--rather, "in the Epistle": a former one not now extant. That Paul does not refer to the present letter is proved by the fact that no direction "not to company with fornicators" occurs in the previous part of it; also the words, "in an (or, the) epistle," could not have been added if he meant, "I have just written" (2Co 10:10). "His letters" (plural; not applying to merely one) confirm this. 2Co 7:8 also refers to our first Epistle, just as here a former letter is referred to by the same phrase. Paul probably wrote a former brief reply to inquiries of the Corinthians: our first Epistle, as it enters more fully into the same subject, has superseded the former, which the Holy Spirit did not design for the guidance of the Church in general, and which therefore has not been preserved. See my Introduction.