If you left something on the ground and a neighbour moves into the spot where you left the items, then they should end up in the police station. Or, for example, you left them near the plaza tree where Redd or other special characters turn up, they'll still end up in the police station.
But as MistyWater said, try not to leave valuables around. If you don't have the closet space try selling order-able items you know you can get in the future from your closets, or if that's still not possible, try making a new character purely for the storage space.
Either way, I hope you didn't lose anything. I haven't yet thanks to the police station.