I remember reading this as a short story in an anthology, probably in the early 1990s. My parents had a lot of books with crime stories in them, as well as humor anthologies, so that unfortunately doesn't narrow it down much. The protagonist is a somewhat nutty detective who has been assigned (or assigned himself?) to a case involving stolen diamonds. Unfortunately, the only details which are firm in my mind are that a) at one point he triumphantly smashes a vase, claiming that the diamonds were baked into the obvious fake, only to be told that it was a priceless antique vase (Ming?) that was worth more than the lost diamonds and b) that the eventual reveal is that the thieves took a baby's rattle, opened it up, and stuck the diamonds in there. I want to say there was some description of "dirty gray rocks" either from them having found the original beads from the rattle, or as a description of how the diamonds looked when liberated from the rattle.
I do remember there was at least one illustration in the story, showing the detective holding up either the vase or the rattle, with a vacant look on his face. I want to say that he had blond curls, and was dressed as a pastiche of Sherlock Holmes costumes with a deerstalker hat and meerschaum pipe.
I'm certain it's not Cam Jansen and the Mystery of the Stolen Diamonds, which involves a similar reveal.