It seems to be a common belief among many Orthodox Jews that many of the vessels that were used in the Second Temple are presently in the custody of the Vatican. This belief is reinforced by the famous image of the Arch of Titus, showing the Romans carrying off the menorah and other artifacts from the Beis HaMikdash. Many Orthodox Jews to this very day believe that the looted treasure is still somewhere in the Vatican. Just today, two Israelis (I don't know if they are members of the government or not) tried to prevent the Pope from coming to Israel until (among other demands) the vessels are returned.
Personally, I'm a bit skeptical that the Pope has them. While I'm certain the Vatican has an impressive collection of historical memorabilia, including, probably, things that would be of incredible interest to Jewish historians*, I'm not so certain that golden vessels (especially something as large as the menorah) would be among them.
For starters, let's remember that the Romans who destroyed the Beis HaMikdash and plundered its treasures were not Christians, but were pagans. You might expect that if Christians had plundered the Temple, they might have kept the menorah out of some respect for an artifact from their "parent religion." The pagans, however, probably had no such sentimental feelings. In all probability, they probably saw the menorah and other Temple vessels as simply gold and silver -- nothing more. They would simply have no reason to keep them around in a dusty basement somewhere. Rome wouldn't become Christianized for a few centuries yet. It's difficult to say that the pagan Roman emporers would have kept all this treasure around without melting it down and using the gold/silver for their own purposes.
Another factor which leads me to doubt the presence of the Temple vessels in Rome is the fact that Rome has been sacked since the vessels would have arrived there. In fact, the city has been sacked several times:
It was sacked in 410 by the Visigoths
It was sacked again in 455 by the Vandals
It was sacked yet again in 546 by the Goths
And yet again in 846 by Arabs
And again in 1084 by the Normans
And yet again in 1527 by the Holy Roman Empire
I would find it very hard to believe that even if the pagan Romans held on to the gold and silver of the Temple that it would have survived the three barbarian sacks of 410-546 and the latter sackings as well.
Am I wrong? Is there some reason to really suspect that the Vatican is still holding on to the treasures of the Second Temple and that they survived the multiple sacks of Rome? Or is the general perception in the Orthodox Jewish world incorrect and there is little, if any chance, that the Vatican still has these treasures today?
* I once had a rebbe in high school who postulated the silly idea that there was a Talmud Bavli for every mesechta of Shas -- except that the ones that are lost today are actually sitting in a Vatican library somewhere. How the Romans managed to "steal" documents that did not exist until hundreds of years later in another part of the world was not quite explained to us.