If you're expecting a package through FedEx and the tracking info on FedEx says the package was delivered to your door and it wasn't then you should contact FedEx first to see if they can locate the package.
It could be that the package was delivered to the wrong address and FedEx should know the exact location the package was delivered too and be able to hopefully retrieve it.
If it was delivered to your house and the package was stolen then you'll have to contact the police about that.
I had a package delivered to the house across the street from me and FedEx contacted them and redelivered my package the next day when they found it.