Don't listen to this guy. That would be highly illegal lol (filing a false police report - likely a felony in this case due to the value). It would be for the receiver to report stolen, not you. Only thing you (OP) could report is the fraud/larceny related to the money, not the item.
When you do mail order sales for a living, you tend to find out about "buyer" scams before even the banks and credit cards become aware of the patterns.
Theft and fraud against sellers or merchants using "protections" afforded by credit card companies and payment processors causes staggering amounts of losses if you look at the complete numbers for the whole country over a year, and all that has to get eventually paid for by higher prices on actual consumers.
I've talked to the police on the phone about this exact same kind of situation
Someone bought stuff paying with Paypal / payment processor and then was like oh I need to change the ship to address and such because I made a mistake and such. In our case we run manual processing and order approval and can see all the orders coming in and caught it because the scammer was greedy and tried to put in similar orders from different accounts and then try to contact for each order to get the address changed.
So we sent decoy packages to the requested address.
Then a bit later we got a nice long phone call from the local police about how that was in fact a mule address and some lonely woman was doing her Nigerian lover a favour and getting packages for him of stuff he wanted sent to his family etc...
So what happened to the OP is not something new, in our case having someone send you a payment via a recallable service with a ship to address of NV and then asking you to ship to WA would have instantly put an immediate stop to everything unless they were a well known customer and we knew and verified their addresses and checked that the address was in fact one of their corporate addresses.
But if you are new and just happy to have made the sale, a lot of times you don't know all the scams.
Hence why PP G&S is a bit dangerous for sellers who don't understand the risks to use. (Even PP F&F you can get scammed on).
But all that to say, most likely the police know about this fraud type, it's been going on for years and is super common.
Mule use is very common. Don't expect the masterminds to be sitting there at the address getting the packages.
Some stupid idiot kid or loser might try it to get free stuff, but your one feels like a polished scam done by those that understand what they are doing.
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