Definitely have a word with him about it. The sooner you discuss it, the sooner you will feel at ease.
The talk probably won't be that bad. From his reaction to finding it - him staying in your room and mucking about with it - I would say he isn't as grossed out by the idea of you having a
vibrator as most kids would be. I think a more expected reaction would have been for your son to have been disgusted, thus putting it back where he found it right away.
The only embarrasment (and needless to say regret) that he probably has, is due you finding him with it!
You must let him know that he shouldn't invade your privacy. You don't want him taking liberties again. But as for the whole fiasco... don't worry about it. Put it out of your mind, as he probably will be as well.
"my classmates would copulate with anything that moved, but i never saw any reason to limit myself" - emo philips
"my girlfriend said to me in bed last night, 'you're a pervert'. i said 'that's a big word for a girl of nine'" - emo philips