Translation:I think that he has taken his suitcase.
Exactly. We have two sentences in a row - "Non penso che lui l'abbia presa." (I don't think that he has taken her). And "Penso che lui abbia la sua valigia." (I think that he has taken her suitcase.) It's obvious that he killed her and took her suitcase to make it look like she had gone away.
This is what happens when you log onto Duo after watching Alfred Hitchcock's Rear Window.