If your checked bag did not arrive at your destination, the first step is to file a missing-baggage report with BA promptly upon arrival. BA is liable up to the limits of the Montreal convention. If you have some particular reason to believe that your bag was stolen (as opposed to, say, removed for weight/balance issues), then by all means file a complaint with the police agency which has jurisdiction over the Airport.

If BA knows that the bag was removed from the aircraft before take-off, that suggests that the bag was scanned after removal. While anything is possible, it would strike me as odd for a thief to scan the bag he was stealing.