Well, this one is going to be tough. There are notices all over the locker area that they are NOT responsible for lost/stolen items, and that ALL lockers are emptied out at the end of the night. Disneyland asserts a few times that you store the items at your own risk and that they cannot be held responsible at ALL.
I mean, you could try calling the main line, and see where you can get, but it will be very difficult to prove that you left your jacket there if it isn't at Lost and Found. You might end up speaking to a nice manager who might compensate you in some way, but I really wouldn't hope for such a thing.
The bottom line is that it was your fault. You might have to just chalk this up as a lesson learned.
If you want to file a "formal" complaint, the place to do so is at Guest Services at the park. Or, you can write to someone at Team Disney Anaheim. I'm not sure what that contact info is, though. Maybe try to Google "Team Disney Anaheim Contact Info".