"Everybody in Europe misses you," Egyptian Ambassador Ashraf Ghorbal said to Secretary of State Alexander Haig at a fancy Washington party last night.

"They're afraid I might be back," replied Haig. "In exile."

The secretary of state has had a few problems at the office lately, particularly last week when he complained that a White House official was waging a "guerilla campaign" to oust him. But last night, he was the ebullient guest of honor at the party the Organization of American States gives for every new secretary of state. OAS Secretary General Alejandro Orfila, an experienced host wise to the party sport, was delighted that this secretary is, as the secretary once put it himself, such a capital vicar.

"When you have a celebrity who is attractive and natural, what a wonderful combination," said Orfila.

The dinner party for 150, many of them OAS ambassadors, began around a moodily lit fountain in the OAS building's reception area. Palms and other tropical foliage served as a backdrop for the receiving line, which included SurinameseAmbassador Henricus Heidweiller, chairman of the OAS council and the party's other host. To the right of him were Haig's security agents, dark and brooding.

They numbered three. "And we're only the ones that you see," said one of them mysteriously.

The guests began arriving a few fashionable minutes after 8. The women carried small gold evening bags, a few too small for more than 10 bobby pins. Some dresses exposed shoulders, legs and a bit of breast. Perfume was thick on the air.

Guests moved through the receiving line's polite chorus of "Nice to see yous" and two-cheek kisses, performed by touching cheeks, kissing the air, then repeating on the other side. After that there was a lull. The secretary of state rocked back and forth on his heels, fidgeted with his cuff links, appeared to be about to stick his hand in his pocket, but then stopped, apparently remembering where he was. Soon another guest came through.

One was Colombian Ambassador Fernando Gaviria. He asked Haig how things were.

"Everything's under control," replied Haig. "We keep things moving fast, so we make a small target."

Haig was also asked during the evening whether he had found or would identify the White House guerilla.

"The answer is," said Haig with great vigor, "NO COMMENT. NO COMMENT."