They say a man entered Friendly Jewelry and Pawn at 2731 Chapel Hill Boulevard at 12:10 p.m. and left what he said was a bomb at the business.
The suspect fled in an employee's 2006 white Saturn Vue.
The suspect is described as a tall white man with a large build. He had a shaved head and was wearing glasses and a mask.
Around 3 p.m., Sheriff's deputies determined that the device was not a bomb or an explosive device.
The stolen vehicle is still missing and no charges have been filed.