Instagram sensation Dan Bilzerian received some bad news when he returned to his West Hollywood mansion after a September break-in — several of his guns were gone. But it wasn’t burglars who had taken the firearms, it was the Los Angeles Police Department. For two months after the break-in, Mr. Bilzerian, a professional poker player and gun rights champion, says police inexplicably continued to keep the nine firearms under lock and key without a warrant. When the eight pistols and one rifle were returned to their owner about a week ago, all the ammunition for the firearms was missing, raising...