Agree with franksquid, sounds like you were showing your gun collection to one of your budies, or maybe at a party, and either somebody told somebody else, or whatever.
I assume you've removed all the guns from your safe. Even if you change the locks, he knows what kind of safe - sounds like you have a wall mounted safe - and when he comes next time he'll be ready with the appropriate tools. Wall mounted safes made of that flimsy sheet steel are notoriously easy to break into.
I'd, as others above, would recommend that you get a full-size twist combination safe - like a Browning/Liberty or the equivalent. Move it to a different location in your house. Get a house alarm that calls the police. Get one of those pepper spray trip alarms that'll make it particularly unpleasant for him when/if he returns.
If he does return he ain't gonna come for awhile because he knows that you're at peak awareness now. He's gonna wait awhile and then he'll come back.
Do what I do and plan a "fake" vacation. Tell all your family, friends, coworkers and the like that you're going to the mountains for the weekend for camping and fishing. Tell 'em all you won't be back till late Tuesday. Make a big deal of packing the car in the driveway with lots of junk. Leave in broad daylight late in the day. Go a couple miles away and let the wife and kids go to their in-laws. Sit in a bar and have a few beers till dark and then return by cab to a couple of blocks away and walk in by darkness to the back door. No light, calls or noise. You'll be AMAZED at what happens to your house and property. Be sure to have a camera and cell phone for both recording evidence and calling the fuzz. Enjoy.