I assume you have a CW permit and proof of ownership of gun. If so, call the police to report it stolen and have them file a report. It would be up to the agency to investigate this further as some degree of theft. Do this asap, before you have any more liability as it relates to the gun.
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As long as you are 100% right as far as ownership and licensing, you have nothing to fear from having involvement from law enforcement. You should call the appropriate law enforcement agency--it might be WPBPD, or PBSO, or wherever he lives, as it is his withholding the property that creates the crime of theft that will establish the jurisdiction of the law enforcement agency.
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