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Thanks for your question.
The delivery men are most likely bonded. This means they are insured in case something gets damaged or turns up missing in their dealings with customers. The insurance company would pay for the damaged/missing item if a claim is filed.
Contacting the police and contacting the delivery company will accomplish two different things. The delivery company can file a claim with the bonding company to hopefully get you reimbursed for the amount of your necklace. Calling the police, on the other hand, might result in criminal charges against one or both of the delivery men, and it may or may not result in getting you reimbursed for your missing items (depending on whether there is a conviction, and if so, if the judge orders restitution).
If I were in your shoes, I would probably call both the delivery company and the police, just to cover all bases.
Hope this helps. Good luck.