They do not have to have in the contract that they will report it stolen if you don't return it. IF, and it's a big if because rental car agencies deal with this frequently enough, there is something in the contract about how they handle failure to return the car; that is the path they should follow. They aren't going to completely shut themselves out of the option to report it stolen though.
Personally, I think reporting it after it's only 2 days late is a bit hasty. They might have a history of issues with people not returning cars so they chose to report it quickly.
Heck, we don't even know if OP is in the US.

