Depends on the situation I guess. If you see that the serial number has been removed then I would for sure call the police. If it does have a serial number, you may want to confront him about it (after you have hidden it).
I was looking through cupboards and found a gun I didn't know my husband had. Why would he hide this from me? Should I inform the police?
Of of course! You should call and inform the police of all your family activities. Be a good little spy for the government! Erase all trust that your family has in you. It is your duty to destroy your family!
You would call the police on your husband before even asking him about it? Wooooooow
You should ask your husband about it. It's in your house and you have a right to know. But it all depends on your circumstances too. If he has a history of being violent with you .. You'd have to decide the best way to handle it.