It's pretty simple; OP doesn't exactly sound like someone who would come up with a super-convincing story for the police officers that would contact him, nor does he seem like the type that would just clam up, meaning the officers would probably get enough out of him to secure a warrant for a search of his house. But fortunately OP isn't the kind of guy to steal the lenses.
Do you think the Chicago Cops work like CSI:Chicago?
1. The company couldn't report the lenses 'stolen' as that would be filing a false report. They WERE NOT STOLEN.
2. The OP got merchandise above and beyond what was ordered. He wasn't even obligated to report to the company he got it. Legally, it's a 'gift'. Not even technically. Legally.
3. Get off the 'theft' train. There was no theft. No one stole anything. Period.
However, since the OP did notify the rental company, they have the ability to pay to have the lenses returned. Once that was established, the OP would THEN be obligated to return them. But not before that.