If you're going to drill a thief, do the job right and be on your way. If you report it to the cops and the thief survives, he'll know who plugged him and when he gets done with the law, you'll always have to look over your shoulder.
If you kill one breaking into your house, you might be best off to bag em and toss em in the river, or leave the carcass out in the wild if you can do it without being caught.