I have heard this joke and am not sure if it had really happened. The joke goes like this. It happened during the rule of Joesph Stalin in Russia. One of the costly wrist watches of Stalin was missing (Interestingly Stalin was a watch collector as some netizens
discuss
here.) He immediately alerted the police chief and asked him to trace the thief and the watch. However, after half an hour or so, Stalin could locate his watch and realized that he had misplaced it. He called the police chief to convey his regrets and stop searching. As soon the police chief lifted the phone, he informed Stalin, "We have arrested five suspects and one has already accepted that he has stolen. Don't worry. We will get your watch soon." This may be a joke. However, it has just happened in Delhi in real life.
The real story goes like this. A boy has fallen in love with a girl. The boy and girl were missing for few days. A dead body has been located by the police and the boy's parents have identified that the body was of their son. The police have arrested that girl's brother and he has accepted that he has murdered the boy. The news attracted the media under the heading of 'honor killing'. The next day, both the boy and the girl have appeared in front of the police. The boy was alive. You can read further in the following links:
http://beta.thehindu.com/news/national/article425797.ece
http://timesofindia.indiatimes.com/india/-Honour-killing-victim-reports-to-police-station/articleshow/5910378.cms
Mervin