Just as I would never recommend LYING to the police, I would never tell someone to "never talk to the police".
There are a host of legal and personal considerations here. I don't think any of us is qualified to advise someone else what to do in this situation. Reporting the gun stolen won't get it off the street. So that part is over. What happens from here out is a personal decision, best made with all of the relevant information. Which is what legal advice gets you.