5. I immediately called the cops and gave them a complete description and last direction of travel?
That is a very good suggestion. But, in my town, the cops would have basically said, "And you're bothering us with this because????"
Seriously.
"Hello, _____________ Police Department. You say a man came in through your back gate? Did he assault you in any way? Did he threaten you? No? OK, then, you say he showed you a gun. How do you know it was a real gun? Did he point it at you? Did he attempt to rob you? No? OK, well did he.....what, you say he just walked off and left you? He didn't do anything to you? He just left? Nothing else?? Oh, OK. Well, thanks for calling."
"Oh, by the way. Was that your property? What exactly did you say you were doing back there..something about graffiti??"
I'm happy nothing happened to you. Good advice to lock your gate, and not talk to strangers.