If you discover that items have gone missing, after you have reclaimed your luggage, you must:

Report the loss to the airlines handling agent at the arrival airport, who can normally be found in the baggage reclaim. Fill out a Property Irregularity Report (PIR), ensuring you list all the lost items.

The PIR form can then be used to make an insurance claim, through either your travel insurance company or airline. 

Claims must be made in writing within 7 days of the loss.