Thanks everyone for the prompt replies. They reflect the advice I initially gave him. He had just noticed it missing today when I called him and was going to contact the hotel first and then the authorities, if necessary. He is the lawful owner, has documentation and is a multi-state CCW.
Brings up a very good point of carrying a copy of a receipt when traveling for just such a purpose. I have all mine in a database with photographs and have a computer with me nearly all the time. I'm thinking that I should scan all my receipts and save them in the database as well.
Like I said, I don't travel much anymore. But even when I did, those in-room vaults always made me nervous. Found a dildo in one once too. Kinda gross.