Source: As worded by Indian Railways, Government of India

In case of theft of luggage, robbery/dacoity in running trains, your can approach train conductors/coach attendants/guards or GRP escort. They will give your you're the FIR Form, which may be duly filled-in and handed over to them. The complaint will then be forwarded to the Police Station for necessary action. You need not break your journey to lodge a complaint with the police. You can also approach the RPF Assistance Posts at major railway stations, for any assistance in lodging the complaint