ASKING THE IMPORTANT QUESTIONS: Where are the Temple treasures? (Is It the End of the World Blog: Jim Fletcher, Beliefnet). The short answer is that the Copper Scroll may have involved the treasures of Herod's Temple, but otherwise all we have are legends of dubious value about the subject. My publication of the first English translation of one of these, The Treatise of the Vessels (see that last link), seems to have made me something of a surprise authority on the matter. Or at least I still get letters and phone calls from people who are convinced that they know the answer to the question.
As far as I know, the most recent serious attempt to find that answer is Sean Kingsley's 2006 book God's Gold, on which more, here and links. I doubt that the Vatican has any of them. And the speculation that Alaric's tomb in Cosenza, Italy, holds a vast treasure that includes the Temple menorah remains speculation unless and until the tomb is actually found and excavated and it turns out to have a treasure and that treasure turns out to include the menorah. We'll see.