If not his property, return the computer. It is not his. He will feel good having done the right thing. He will always feel a little dirty each time he uses the computer.
Let's just say things were done correctly and professionally and I was given, say, even a week's notice so BOTH the company and I could settle up what needed to be settled? That would seem a much more civilized choice.
Companies so mismanaged they give their employees one day's notice before going under really don't deserve any thoughtful consideration. Just my opinion ...