What should I do if my EB-5 visa is denied at the U.S. consulate?

You should contact the National Visa Center. Based on experience, returns from the embassy to the NVC tend to take a long before they surface at the NVC. Make, you have to keep constant contact with the NVC to make sure the return does not take an unduly long time. Also, contact the Consulate and make sure you inquire what is missing and if the list of documents is ever given to you, make sure you address the issue as soon as possible.

Question the consulate through their inquiry system as to what was incomplete.

You might just have to wait until the national visa center contacts you and/or your lawyer.

You should inquire with the National Visa Center to determine the physical location of your immigration file and follow up with them as to what is needed to complete your case file.

You have to generally wait until you receive a notice from the IPO where the concerns are raised. Sadly, consular returns are not the highest priority for the government.

You can try contacting the NVC directly to get it going again. Unless they found fraud, I find it unlikely that they would invalidate the I-526, so you should be able to file again.

Follow up with NVC and find out what is incomplete, if anything, or if perhaps this was a return to USCIS to consider revocation. It is very, very unusual to return a visa to NVC.