Have they opened a case for item not received ?  If not,  wait until they do,  then enter that tracking number that's where your responsibility should end,  proving delivery to the address eBay provided to you. 

It's not your responsibility if an item gets stolen,  or where a Postie / courier may leave an item ,in an unsafe place.  That's for the buyer to chase up.

Yes,  if they wish to contact the Police,  they can do,  doubt it will retrieve their item,  but if there's a pattern of theft in their area,  good that the Police are aware.

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