"If OP wants to pursue this, he needs to file a police report, regardless of that the popo tell him, get a copy of the report, and take it to the magistrate and seek a warrant." Really? Seems like I have read that somewhere? Oh yeah, it was post #33 and #52, imagine that.
One man's/woman's story alone absent some other circumstantial or physical evidence is never going to rise to the level of probable cause, at least not in the last 23 years I have been working in law enforcement.
Really? Want to explain how that worked out for Evelyn Johnson? Where was the circumstantial or physical evidence that got her killed?
The fact that OP had a rifle, delivered it in trust to a third party, and the third party now refuses to return the rifle is classic "circumstantial evidence".
The paper is full of police reports every day about people accosted on the street, getting robbed, and then calling the police. What circumstantial evidence do they have that they actually got robbed? The police take the report and then start looking for people on the street matching the descriptions given by the victims. The popo don't even know who the perpetrator is, but they will gladly pick up a likely looking suspect and put him in the back of the cruiser.
Maybe the so called victim just left his wallet in the last bar he was in.