I don't agree that you should be mad. It sounds like your dad was trying to spare your feelings, and sometimes that's a good thing. My mom once decided to tell me Christmas morning that she hated the Christmas gift I'd gotten her, and if I'd just listened to her and actually gotten her what she said she wanted, blah blah blah blah blah blah, and I ended up in tears. It basically ruined that Christmas. So, at least your dad didn't do that.
But, regardless, you are mad, so I think you should tell your dad something like "I heard that you exchanged my gift, and I'm upset that you didn't think I'd find out." At the least, you can try to get him to tell you why he disliked the gift, so you are more informed next time you go to get him something.
Sometimes I think lying about presents is necessary. I'm not going to tell my aunt that I hate the sweater she spent hours and hours knitting me, she'd be devastated. Better, I think, to just pretend like I like it and wear it around her. And I don't think exchanging a gift is a bad thing either - don't you ultimately want your dad to be happy with what he got? But your dad was dumb to think you wouldn't notice when his gift was never around, and it's unfortunate he felt that he had to lie to you.