I would contact FEDEX that you did not receive your package and that it is a firearm. Also inform FEDEX that you will be notifying your police depart and ATF of the incident. They will eventually expedite their (FEDEX) investigation as to what happened, who delivered it and who is the driver. There is a possible chance that the firearm will be found and returned to you. The possible excuse by FEDEX is that they found the rifle and that it was not in the truck and the driver thought that for whatever safety reason that he (driver) thought to keep it for safety reason and that he could not just leave it at the front door so no one can steal it. (Of course, that's a lot or malarky). Good luck I hope you get it back.
Of course, informing FEDEX that law enforcement will be notified and involve scares the heck out of their staff. IMO.