contacted the courier and they said the customer had rang them and changed the delivery address but before they could deliver

to the new address someone turned up at the courier depot and collected it. They had the consignment card which was left

in my buyers mail box.

This says to me that the buyer had actually changed address and tried to initiate the change post-sale, but that the courier had already attempted delivery to the address the buyer had provided.

But, yes, if this is not the case (and I'm not convinced) then the police is the logical next avenue.