There was a pretty long conversation about this in the AV Club comments for The Kindly Ones. The popular theories are Lucifer and Morpheus, and I lean towards the latter.
Yeah, I've been reading those threads, very good stuff. I don't think it was Lucifer, he's pretty much a good guy in Gaiman's world. I initially thought it was Desire, but now I think it being Morpheus himself makes the most sense, especially with his conversation with Death right at the end. He did it on purpose, but tried to pretend that he didn't. Like giving Nuala the pendant, but on a larger scale.