It would be considered unauthorized use, not theft, as you lent it to him. The police have to wait a period of time before they can do anything, as he might bring it back. Usually, the police can't even get involved until its been 24 hours, but that varies by department.
Best thing to do (a little unethical loophole in the system), tell the police you think he might hurt himself and they will put out a well being check on him and give a description of the car. By doing this, all towns are notified about it (via CJIS computer) and they will stop and hold him.
Edit: Five days??? Report it stolen.