The dual of a dual in a rigid tensor category

TL;DR: $X\cong (X^*)^*$ is not necessarily true, and this seems to be a folklore result, mentioned e.g. in these notes by Müger on p.9 (found by Eduardo Pareja Tobes). However, finding explicit examples of this phenomenon is not so trivial, and Müger in particular does not give one. Here's a general construction.

First, note that it's enough to find a monoidal category together with some object $X$ which has all iterated duals on both sides such that $X\cong (X^*)^*$. For then, we can consider the full subcategory on those objects which have all iterated duals, and this is closed under the monoidal structure due to the strong monoidality of taking duals, $(X\otimes Y)^* \cong Y^*\otimes X^*$.

Second, for any category $C$, it is well-known that the category of endofunctors $\mathrm{End}(C)$ is monoidal with respect to functor composition, and that dual objects correspond to adjoint functors. We therefore only need to find some category $C$ together with an endofunctor $F : C\to C$ which has all iterated adjoints, and such that its left and right adjoint are not isomorphic. There are plenty of examples in this MO question, but let me give a very concrete one for the sake of completeness.

Take $C = \mathbb{Z}$ to be the integers with their usual order considered as a category, and let $f : \mathbb{Z}\to\mathbb{Z}$ be the functor $f(x) = 2x$. This has a left adjoint given by $x\mapsto \lceil \frac{x}{2} \rceil$ and a right adjoint given by $x\mapsto \lfloor \frac{x}{2} \rfloor$. Thanks to $$\lceil \frac{x}{2} \rceil = \lfloor \frac{x+1}{2} \rfloor,$$ it's easy to see that we have a further left adjoint given by $x\mapsto 2x+1$. Continuing like this, we obtain an infinite sequence of adjoints, no two of which are the same. In their full glory, the individual adjuntions making up the sequence look like this: $$ 2x+n \leq y \quad \Leftrightarrow \quad x \leq \lfloor \frac{y-n}{2}\rfloor,$$ $$ \lfloor \frac{x-n}{2}\rfloor \leq y \quad \Leftrightarrow \quad x\leq 2y + n + 1,$$ where the third functor $x\mapsto 2x + n + 1$ now looks the same as the first $x\mapsto 2x + n$, but with $n$ increased by $1$. The second equivalence is easiest to see using $\lfloor\frac{x-n}{2}\rfloor = \lceil \frac{x-n-1}{2} \rceil$.

As Tobias said in his answer, a good place to look for examples is in endofunctor categories with composition as the monoidal product, where duals are adjoints. But another way to get a rigid monoidal category of such is to just restrict to the full subcategory of endofunctors $F = F_0$ that fit into some infinite adjoint string

$$ \cdots \dashv F_{-2} \dashv F_{-1} \dashv F_0 \dashv F_1 \dashv F_2 \dashv \cdots$$

Since composition preserves adjoints, this subcategory is closed under the monoidal structure, hence is itself a monoidal category; and it is evidently rigid since each of the $F_n$ above also belongs to it (just shift the adjoint string back and forth).

So now we just need to find an endofunctor that fits into such an infinite adjoint string but whose left and right adjoints are not isomorphic. One such "naturally ocurring" example appears in Remark 6.11 of arXiv:1704.08084: if $D$ is a stable derivator, then there is an infinite adjoint string

$$ \cdots \dashv G_{-2} \dashv G_{-1} \dashv G_0 \dashv G_1 \dashv G_2 \dashv \cdots$$

connecting $D$ and $D^{[1]}$, where $[1]$ is the arrow category $(0\to 1)$. These are not endofunctors, but composing them in pairs we get an adjoint string of endofunctors:

$$ \cdots \dashv G_{-1} G_{-2} \dashv G_{-1} G_0 \dashv G_1 G_0 \dashv G_1 G_2 \dashv G_3 G_2 \dashv \cdots$$

Now $G_1: D \to D^{[1]}$ is the constant diagram functor, so that $G_2$ is evaluation at $0$ and $G_{0}$ is evaluation at $1$. Then $G_3$ sends an object $X$ to the morphism $X\to 1$, and $G_{-1}$ sends it to the morphism $0\to X$. Thus $G_1 G_0(X\to Y) = (Y\to Y)$, while $G_1 G_2(X\to Y) = (X\to X)$ and $G_{-1} G_0(X\to Y) = (0\to Y)$. So as long as $D$ is nontrivial, $G_{-1} G_0$ is an object in a rigid monoidal category that is not isomorphic to its double right dual.

Another way of showing this isn't true in general (and this is a fairly systematic way to handle this kind of questions) is to look at string diagrams, ie at the free rigid (strict, say) monoidal category generated by one object $X$. It is not hard to see that morphisms in that category can be represented by "planar open oriented tangles", i.e. collections of intervals embedded in a rectangle so that the endpoints of each interval are attached to the top or bottom edge of the rectangle, modulo planar isotopy.

In that category, $Hom(X,X^{**})$ is simply empty. ANother way to say this is that if this statement was always true, then it would be a formal consequence of the axioms of rigid monoidal categories, and one would be able to write down such an isomorphism purely in terms of the duality data, and it's easy to see there is'nt even a candidate map (let alone an isomorphism).

It might be worth mentionning that the statement that does generalize to any rigid category, is the fact that there are canonical isomorphism $${}^*(X^*)\cong X \cong ({}^*X)^*.$$