Customer sent back completely different item

We have full video, multiple cameras with multiple views of what we shipped this customer. I called him after he opened the following return: Inaccurate website description, Buyer Comment: "This is a 243 demarni not a 113". I told him we have full video of what we sent and the bat we sent was a charcoal colored bat (I13), the bat he claimed to have received was a blonde colored bat (D243). He said what does it matter, this one is still brand new and they are the same price. I stated I am unwilling to take another sellers bat back. Interesting for him to even say that much when he was still claiming we sent him the wrong bat. Stated he already dropped it off with UPS. Oh, also stated Amazon will, "Take care of him". I also sent him screenshots with timestamps of bat we shipped him. He was/is not backing down.

Well, he returned us the blonde bat with the warranty sticker removed and this bat has been used/Dirty. Not our bat.

I am going to close out the return stating we received the wrong item. What else should I do? I am sure his next step is an A-Z Claim. Anyway I can even win? (Even with the video proof?) Would it help with I had the police come over, watch the footage and I file a report against this guy? Would a police report help with an A-Z Claim?