What can you do if someone steals your stuff and threatens to destroy it if you go to the police?

Hypothetical scenario for you. Someone has stolen something irreplaceable from you, like a one of a kind painting, family portrait, limited edition tshirt, or something else that has sentimental value.

You ask for it back, but they're having none of it. They say "I'm not giving it back to you, and if you go to the police, I'm going to burn it".

What can you do in that situation to retrieve the stolen item?