"Well it did take a few leaps in logic but I think everything adds up. Neville told us that the same day you and Hagrid went to Gringotts the break in happened and we know from the newspapers reports that nothing from the bank was actually taken which means whatever the thief was looking for he either didn't find or was already gone. Now you told Neville that Hagrid stopped off at a vault before coming to yours to collect something for Dumbeldore. It isn't too far of a stretch to assume that whatever Dumbledore wanted moved was the item the thief was looking for. That means it is most likely in the castle since that's where the headmaster spends most of his time. What better security than a three headed dog."