If I have a car stolen in The Netherlands and it's being sold in Romania, and I find out who's selling it and where, I'll be told that I have to travel to Romania and file report with the local police there before they'll do anything.
The only inter-state enforcement we have in the EU is Interpol, which doesn't care about anything like that, they only handle the likes of violent crime.
So it's kind of like expecting to recover your stolen car from Mexico or Belize, except crossing the border is a lot easier.