@Zei - The title of your thread gave me a chuckle! While I don't think the Klepto's should be 'punished' for doing something they cannot control, I do think the Sims team should have wrote in an option which would allow your Sim to ask for their object back before they (the Klepto) leaves the property. After all, if you are actively playing with a Sim with this trait, they have the option to 'return' what was taken (although, I've never actually seen any items returned).
The way the game was written, it treats it's players (us Simmers) very 'unfairly' and in ways which can be stress inducing; especially when an event which is small in scope, 'should' have a simple solution, yet offers none. IreneSwift is correct. If you were to call the police your Sim would have been charged 500 simoleons for making a false report.
The thing to remember about Kleptos is they cannot (or are not suppose to) steal anything if there are other Sims around. The best you can do outside of adding mods is 'Klepto-proof' your home by keeping all snatch-able items behind locked doors and putting cheaper furnishings in guest areas but enhancing the space with items which offer environment boosts so your guest sleep well.