How much does the bag cost? First thing I would do is file a police report. It's not going to get you your bag back, but everyone you deal with will take you a lot more seriously if you have a police report.

Your available options for reimbursement may be one or a combination of:
1) the credit card you purchased the item with;
2) the credit card you purchased the plane ticket with;
3) potentially the credit card you purchased some other means of common carrier transportation with (for example, you took a train from the hotel to the airport - do not overlook this avenue because you think it's not the ticket where the theft occurred, you may still be covered);
4) homeowner's/renter's insurance;
5) Delta;
6) TSA/Customs, though, you know how that would go;
7) some other type of travel insurance you have or purchased;
8) or probably other things I'm not thinking of.