Returning US Citizen lost passport in Canada

is there something we should do?

You have done the sensible thing and it worked.

Do we need to leave him in Canada?

No. Had you not found his passport and unless sneaking in he would have faced a lengthy detention at the border but would eventually have been allowed back in, provided he or people for him could assemble enough documentation to prove his identity without a current passport.

To be a little more specific than @o.m. (not a laywer, not legal advice) and for future SE reference ...

Please refer to the US Dept of State website Lost or Stolen Passports Abroad.

Similar steps are outlined for foreigners losing travel documents while visiting the United States.

As with the US advisory, reporting lost documents to to the local (foreign) police service is prudent and may even get you your lost documents back if found. Do this as soon as you are certain it is missing to protect against identity theft. Reporting the document found later may potentially expose you to some, but less grief than if someone steals your identity and you never reported it missing! If staying at a hotel, reporting a lost passport to the Hotel Management may help as well.

As an honest Canadian (is there another kind), if I found a Passport I would most likely turn it over to the local police or RCMP, unless there was a local US consular office or US Consulate. Even then, I'd probably still hand over to the police to pass along given the current tensions in US foreign relations (less grief).

I don't believe the US nor Canada Border Services can deny entry to an inbound national, but the lack of a passport document may make air travel nearly impossible (airline rules and risk of fines, not the law), but you can use a land crossing.

Once at an entry point, the challenge is proving to Border Services you are who you claim to be. That's where the local police report and backup documentation (Identification, Evidence of U.S. citizenship, Travel Itinerary) come into play. You may be subject to extensive examination and possible detention until they verify your identity to their satisfaction.

ps: There's no legal requirement to carry your passport on your person while within Canada; just some identification. Keep your travel documents, airline tickets, etc. safe.