Things advise to do:
1. Contact the agent and report the case.
2. Usually your agent will advise you to check your house just in case anything valuable missed/disappeared.
3. Report to the nearest police station. Get the case reported in file. HK police can help alot in these kind of cases and provide you more information of the maid's history in Hong Kong.
4. Tell the loan company she already left the country and no longer your maid. Don't panic but talk to them directly. Get as much information as possible, such as how much the maid borrow, and since when. Visit the loan company if necessary and make them understand and trust that you are only the employer. They may provide you the loan history of the maid.
The same situation happened to some of my friends, and the loan company didn't do anything harmful to the employer since it happens quite often.