I am sorry for your situation. From the information given, I assume that you are in Saudi Arabia.
Indeed, the embassies have no competence on the subject, nor does the ministry, as this is a private consumer dispute.
The first step to take is to see the contact details of the company. These should be still found on either:
- the confirmation e-mail you have gotten;
- the sender information on the package or the package documents.
Of interest are name, address, phone, e-mail, website, account number, and most importantly the register number, in the Germany company registry. If you have this information, you can check the company in the Registry (this is found here: https://www.unternehmensregister.de/ureg/?submitaction=language&language=en), to see whether the company still exists or has closed down completely.
If the company still exists, you may sue it, at least in Germany, in the Amtsgericht closest to its headquarters. Based on the address, this can be found here (http://ec.europa.eu/justice_home/judicialatlascivil/html/cc_searchmunicipality_en.jsp#statePage0).
You might also be able to sue in Saudi Arabia, and then have the ruling recognized in Germany. However, as I cannot say much about Saudi Arabian law, which is a very unusual legal system, I cannot say more.
In either case, though, enforcement of the court decision would still have to be done in Germany, by a bailiff, which can be found under the name of 'gerichtsvollzieher'.
I am sorry that this should be so complicated. Given that you are not in the EU, most Regulations regarding procedure facilitation do not apply.
Regarding going to the police, it could be useful, but only if someone presses for charges. That someone can only be your local German attorney. Depending on the location of the company, you can find lists of English-speaking attorneys in Germany on the US embassy in Berlin website (look for Citizen services -> criminal law attorneys). Only a local attorney can take the required measures and fully follow your claim to see whether this action falls within criminal law, and to pursue the company or its representatives.
I hope my answer gave you a clearer picture of what you can do and look forward to your rating.
Dr I. L. Vlad