I think most Baby Jesus disappearances are likely just pranks by teenagers but some think it's done by people with an anti-Christian agenda, a blatant "taking the Christ out of Christmas" theft.
But it's also possible that completely innocent reasons are behind a missing Baby Jesus. Consider the following (not true) but touching story from an episode of the old TV series, Dragnet.
Sergeant Friday is investigating the theft of a Baby Jesus from a church nativity display on Christmas Eve. When he is unable to solve the crime, Sergeant Friday tells the priest that Mass will have to be celebrated without the Baby Jesus.
But the figurine is restored when a boy arrives with it in a wagon. He tells the officers that he vowed that if he got a wagon for Christmas, Baby Jesus would have the first ride.
Hopefully many Baby Jesus figures that disappear are off on adventures that bring the theft culprits closer to Christ. After all, that's kind of the reason for the season! Merry Christmas!