If you are near the U. S. Mexico border there is a good change that you car is in Mexico. It is extremely difficult to recover cars from Mexico. Filing a report with the police is all you can do.
Each year thousands of cars are stolen annually and many end up in Mexico. Unfortunately for most victims whose cars end up in Mexico this usually means they'll never see their car again. According to statistics there are only approximately 200 stolen cars recovered annually from Mexico.
Many cars probably end up in Mexico every year, but because very few are ever recovered (about 14%), no one really knows for sure. Thus, if your car is stolen don't expect to ever find it again.