This is a really good article on what to do if you ever find yourself in the predicament of having your rental car stolen. Even if you have rental insurance you may still be held responsible in this situation.
Take action immediately if your rental car is stolen. Victims of rental car theft are encouraged to call the police first. If your rental car paperwork is available, give the vehicle identification number to the police. Also report any stolen identification and bank or credit cards that may have been in the car by telephoning your bank and your home state or country's appropriate transportation office.
Next, contact the nearest location of the car rental agency, or dial the toll-free national number if it is after hours. The process goes faster if you have your rental agreement or confirmation number handy. The local rental office can usually get you in a new rental car immediately so you can be on your way. Finally, call your own insurance company to report the event and see how you are covered in case of damages to the car.
Read more: http://www.ehow.com/way_5183443_do-rental-car-stolen_.html#ixzz1IB2NkErO