It was Bear's fault
Finch: Bear chased it away, Mr. Reese! They're both gone!
Reese: You were supposed to be watching it, Harold.
Finch: I just turned my back for one minute! I thought you said this dog was well trained! You've already turned my library into a nursery, and now you're trying to turn it into a farm?
Reese: There was nothing else to do with it. It was in danger. Did you want me to just let it walk across a New York street and get hit by a car? Which is what you've done, I may add.
Finch: I'm tracking it as we speak, Mr. Reese. You'd better hurry! Bear might get hit crossing the road after it! As soon as you get him back, I'm fitting him with a tracking device.
Reese: Are you actually beginning to feel affection for a dog, Mr. Finch?
Silence on the line.