I'm not saying it's the correct thing to do (and I wouldn't like it if it happened), but maybe he used yours to save a trip? Then threw it in his bag by mistake?
I would call the company and ask if he might have picked it up. If you do happen to find it later, you can call them back and tell them (the same person) you found it. But to let it go (if you really think he's got it) is just letting a potential theft 'get away with it'.
I'm a business owner and I would want to know if an employee was a potential thief. You can't know something that goes unreported!!! Like the other poster said, if the owner/manager gets more reports... they will have a record of previous calls.