How come the OP can’t provide details about the shipment? To get useful advice more detail would be helpful.
Was the item insured? If so, did they pay the claim? Who was the shipper?
It is extremely rare for FedEx or UPS to lose a shipment like this -- especially if was insured.
If it was not insured, well, that’s hard to imagine given what it cost. It just feels like some key details are missing from this story that could be shared.
As far as contacting the local police goes, good luck with that. I would be amazed if they got involved at all. BTW, it sounds like an interstate situation, so that would involve the FBI -- speaking from my own experience, there is absolutely no chance those guys will lift a finger to get involved in a situation this. They'll tell you they're understaffed and can't devote the resources.