If I found a gun I'd try to post on local gun forums giving people a chance to claim it.
I would not keep a gun that I didn't know its history, or have a clear chain of custody for my ownership, but that is just me.
You'd be worried about a found newer gun having a criminal history attached to it? Utah guns require no permit or registration so the state must not really care what guns end up in whose hands. As far as I can tell there's no law that I need to turn it in. At this point it's kind of like an expensive lost crescent wrench.