I'm going to yell out of my front door at the people trying to steal my car.
Wow! Have you called the cops yet?
They're stealing my car and they think they're going to get away with it. In fact, I'm going to bring my gun with me.
Wanting to protect your property is understandable but you don't know if one of them is armed or not. You should call the police instead of trying to confront them directly and try to get enough information to identify them. Your safety is more important than your possessions.
I can handle this on my own.
I think you should call the cops this could end really badly. Worst case scenario you die or end up in prison for murder. Please let the professionals handle this, you can call your insurance company to replace the loss of property.