There is a requirement to notify ATF of missing or stolen NFA firearms, but the notification requirement is "in writing". Even if you called the ATF NFA Branch in Martinsburg, your statutory duty is to make the notification in writing (usually, US Mail).
If you call the local PD to report the missing/theft and let them know that an NFA firearm is involved, they'll probably contact NFA themselves - probably hoping the feds will take jurisdiction and they can clear it off their sheet quickly.
I can't see the ATF stirring themselves up too much unless it's a cache of machineguns or DDs stolen - just because a crime element moves it into federal jurisdiction doesn't mean the federal agency will care that much or swoop down and reign terror and blood upon the offenders. The .fed got other stuff to do, too.