I'm sure you could do this with clever cryptography by uploading your public key to the device when you first set it up then signing an attestation of wanting to lock it but this is probably not how it works.
If the police can't be bothered to track a device even when possible I doubt an automatic reporting would encourage them.
They already do it for Apple tv+ (like every other modern web based service). When you login on a new device, they send a code to your phone. Enter the code, click "remember device" if you own it or leave it if it's your friend's, done. Either way, you get an alert with the location of the login. No reason we can't have this for hardware.