No one knows exactly when Sigmar vanished but at some point in time he did and only told his people that one day he would return when they were in great need of him. Eventually, the people of the Empire began to worship him as a god and that's how the whole religion came about. People believe that when a Champion of Light arises to combat the Everchosen of Chaos, it is Sigmar incarnate who has returned to save his people from the evil encroaching on the North.