I think both are correct, but に is more natural than で. 電車(に)かばんを忘れてしまいました。 --> I left my bag in the train. 電車(で)かばんを忘れてしまいました。 --> I left my bag at the train. Japanese particle like "で" and "に" is tiny problem in sentences ;)

電車(に)かばんを忘れてしまいました ＝I forgot to take my bag. (I leave my bag in the train.) if you want to say this, に is right one :)

で, because '電車 ' is a trafic. And で means by some trafic.

yeah, I want to use it like a definite statement. " I've left my bag "

This problem is you want use this sentence for difinate statement or not.