Actually, if they lose your luggage and you have a firearm in it, they are required to report it to the BATFE. It's a HUGE hassle for the airlines--I think it results in a mandatory investigation.

I have a friend who flies with a cheap revolver in his luggage everywhere. The one time they "lost" his luggage (which is usually they don't feel like finding out where it is right now), he simply pulled out his cell phone and said: "Am I calling the BATFE or are you?" Suddenly the beligerant desk worker at the airport got very, very polite. He had his bag 45 minutes later (which is light-speed by airline standards).