Are we talking about a contact within a mailbox, or a contact created in the GAL? For the former, you need to check the mailbox audit log as detailed here: https://learn.microsoft.com/en-us/microsoft-365/compliance/enable-mailbox-auditing?view=o365-worldwide
Keep in mind that owner actions are NOT audited by default, so if this is a user mailbox and the owner created the contact, you'll find no record on it.
If it is a GAL contact, run a search against the Admin audit log/Unified audit log: https://learn.microsoft.com/en-us/microsoft-365/compliance/search-the-audit-log-in-security-and-compliance?view=o365-worldwide
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