I need help

gilbert_and_sullivan

Presumably you took out insurance with the rental, a reasonable person would assume that some low life removing the CAT would be classed as a theft claim.

I would have thought you might be responsible for the excess on the policy until the vehicle can be inspected on return.

If you look at it from the rental companies point of view for a moment, they don't know you from a bar of soap, and it wouldn't be the first time that a renter has returned a vehicle with a swapped spare wheel, swapped road wheels, tankfull of red Diesel etc.

Would be a good idea to return to the site where you dropped it off (with an independent witness) and look for evidence of tampering at the scene, unless someone has swept up there should be some steel scrapings where the exhaust was cut off, or you might spot a cctv camera that covers the area.
If you can prove it happened at their premises and you fulfilled all their normal out of hours return conditions then i would think you could have a fair chance at the small claims court.