I didn't bother reading more than the first post and a few of the replies, so my apologies if this has already been mentioned. I'm a computer engineer (actually, I'm a technical consultant, and my main focus is on security), and believe it or not, there's already both a product and a market for this type of thing. It's used for kids, pets (typically high-end breeder ones, especially horses), collectibles, etc.
Basically, the chip is about the size of a dime, to about the size of a quarter, depending on who makes it (we're not talking an RFID chip here, which is a very low-wattage chip that has to be within a couple of feet of a scanner to be picked up, and even then it can be easily missed.) The various companies who sell the products do so by charging an initial fee (for the chip itself), then a monthly service charge for the service. Some of them have a website that the owner can log in and simply punch in their info, and find out where the item is; others charge each time a search is done (average is $14.95 when done that way.) Other companies have you call them, and will then provide a location, sometimes at no charge if there had been a theft and you provide a police report number (some of them will only provide that info to the police directly, due to the privacy concerns that I believe someone has already mentioned.)
This is pretty much the same chip that is in some cell phones that do GPS triangulation (*not* cel tower triangulation.) However, the main issue is that the chip also requires a battery to power it, and that obviously needs replacement every so often (which isn't a problem in a cel phone, as it has a battery already.) The issue with putting one of these in a cue would be, in my opinion, weight (cue makers would need to compensate for the weight of the chip + weight of the battery), and have a way for the owner to replace the battery as needed, which could be tricky and have potential to damage the cue and/or the tracking chip.
It's not "un-doable", but it's not really mainstream, either.

I'd certainly consider it for a cue that costs a couple grand, but I wouldn't want to retro-fit an existing cue to have it (because of the aforementioned paragraph.)