And further to Jay’s great advice, whether or not you report to the ATF (in addition to local PD) depends on whether you have a federal firearms license, such as a C&R. If you have an FFL, you must report a theft. If you do not have an FFL, reporting to the ATF is not even an option.
https://www.atf.gov/firearms/report-...-theft-or-loss
-Victor