You're unlikely to get mugged or molested in Venice's Santa Lucia station, but watch out for pickpockets and luggage thieves.

If you're a crime victim, look for the "Polizia Ferroviaria" service booth near the platforms or, if it's unoccupied, go to the police office in the open corridor alongside Track 1. (You'll need to file a crime report to get reimbursement from your insurance company back home.)

If you've misplaced an item on a train or in the station, visit the station office as soon as possible.

After a reasonable period of time, oggetti rinvenuti (found objects) are turned over to the City of Venice, which has contact information and archived lists of found objects in Italian at:

Ufficio oggetti rinvenuti