In U.S. it is mandatory to Notify Change of Address and failure to do so has serious consequences
The U.S. immigration law requires a non-citizen of the the U.S. to report a change of address within 10 days of such change. The data is used by USCIS for statistical and record purposes and may be furnished to Federal, State, local and foreign law enforcement officials. This is an affirmative obligation for the non-citizen to notify the USCIS of the change of address. Failure to report a change of address is punishable by fine or imprisonment and/or removal. In some cases failure to notify the change of address may deprive non-citizen from receiving immigration benefits. In cases where USCIS notified about an immigration related issue via mail and a non-citizen failed to reply to such notice and this non-compliance might prompt government to initiate a removal or deportation process.
However the change of address notification is a very simple process. A foreign national may use USCIS online tool to notify the change of address [link here] or he/she may choose to mail a paper Form AR-11 [here] to the following address:
U.S. Department of Homeland Security, Citizenship and Immigration Services
Attn: Change of Address
1344 Pleasants Drive
Harrisonburg, VA 22801
Online tool also allows changing address to where USCIS should notify them about the actions on their case for pending applications and/or petitions with USCIS. While completing the online form or the paper form you may write N/A (non-applicable) on fields for which you do not have information or the questions do not apply to you.
If you failed to notify the change of address and it has been several weeks and months since you changed your address, then you would have to consult with an immigration attorney to rectify this issue with the USCIS.