According to the JCPenney Shipping policy, most orders are shipped UPS or USPS. They ring your doorbell then leave the package in a sheltered area.
USPS may deliver the package in your mailbox if it fits, or put it by your door. You may check the package delivery status on the Track My Orders page at jcpenney.com.
Unfortunately, JCPenney does not provide any information about what to do if the package is stolen. Please contact the JCPenney customer care team by phone at (800) 322-1189 (toll-free number).