Guest is claiming that he lost 500$ and the wallet from his room, his wife is also sure and confirms that before going out they kept it inside room?

Questions :

was his wallet only loaded with 500 USD ?

why did they go out without the wallet ?

did anyone enter ?

did they not sign a declaration in their hotel saying they are responsible if they leave valuables unattended ?

usually such allegations are baseless as you do not have any cctv inside hotel rooms even if you have seen someone enter the room from the corridor cctv.

From the point of view from your position, proper action will probably be to engage loss prevention staff that will conduct further investigation, starting with check of entry records to the specific room, etc...