What should I do when I suspect that one of my friends stole from my other friend, and I don't want to lose either of them?

The Shari'ah encourages concealing the faults of a Muslim. Therefore, the thief should be advised to return the stolen goods in a way that does not expose him. If he does not comply, he should be threatened with reporting him. If he continues to refuse, then the stolen goods must be retrieved from him by any possible means, even if it involves reporting him, otherwise the person would be sinful. This is unless reporting him is feared to lead to a greater evil, in which case he should not be reported.