A person that fails to report a stolen or lost fire, particularly one that was purchased legally and logged by a dealer, is nothing short of being insane. Gun laws are not always written in favor of gun owners, and the interruption of laws by the ATF does not always favor the gun owner. A very good case in point is that which is describe in the March 10, 2008 "Shotgun News," titled "The Accidental Felon." It is different in that it deals with a loaned AR-15 which the owner was legal to loan, but due to a malfunction where the gun accidentally burst into sporadic periods of automatic fire the owner was held responsible, and may eventually end up in jail. ATF did not go after the individual shooting the gun, but went after the legal owner.
Failing to report a loss may lead to you being an "Accidental Felon, and possibly serving time behind bars if the firearm is used in the commission of a crime, or perceived to be of an illegal nature by ATF.
Reporting the gun loss is not an invasion or privacy, and in no way presents a threat to the person making the report. If you want to be macho and not report it it is your business, but personally, I enjoy my freedom and have no desire to spent time behind bars, but if you have the time to spend, then place yourself in the position to do jail time by refusing to report the loss.