THE DRAMA of the statue stolen and then mysteriously returned to the Phillips Collection unfolded further yesterday with the disclosure of a hand-printed note--apparently from the thief, who claimed to be "a great lover of art" seeking to teach the art museum a lesson about security.

"Here is your statue returned!" read the note, which was found inside a green trash bag with the statue last Thursday, the day after it was stolen. "I have been a patron of your collection for some time. Recently I have been concerned about the laxness in security at the gallery. My action . . . was intended only to make this problem visible to you. It is very important for you to understand that I am a great lover of art and would never dream of selling a piece. I apologize for the inconvenience."

"I don't believe it," said museum director Laughlin Phillips, who released a copy of the note yesterday. Phillips said he thinks the thief "is trying to put the best face on his action in case he or she is caught."

Phillips said security has been tightened at the museum since the incident last week.

The note, printed in block letters on a sheet of yellow paper from a legal pad, was inside the trash bag with the $35,000 statue, "Virgin of Alsace," when Phillips and an aide recovered it from an alley north of Dupont Circle. The recovery was made after a woman anonymously telephoned the museum to disclose the location of the statue.

Police have the note and have taken fingerprints from it, according to Detective Kenneth E. Oliff, who is in charge of the investigation. Oliff said yesterday the investigation is continuing, but declined further comment.

The marble statue of the Virgin and Christ child, 26 inches high and weighing 50 pounds, was carved by French sculptor Antoine Bourdelle in 1920. It has been housed in the Phillips Collection since the founder, the late Duncan Phillips, bought it for his wife, Marjorie, in 1925.

The statue was stolen from the music room last Wednesday. At the time, guards saw a man and woman hurriedly leaving the museum, the man's arms around some object wrapped in a tweed coat. A description of them was furnished to police and published in the media the next day.

"I think the quick return of the sculpture can be attributed to the newspaper coverage, which showed that our guards were able to get a good physical description for use by the police," said Laughlin Phillips.

He said he thinks it is possible, but not probable, that the thief was "a sincere but misguided person who chose a criminal method of teaching us a lesson and in the process damaged a work of art." The statue suffered a small chip where the Virgin is holding the infant Jesus with his arms outspread in the shape of the cross.

The Phillips--located in what was Duncan and Marjorie Phillips' charming old mansion at 1600 21st St. NW--has long been known as the friendliest and most comfortable art museum in Washington. Instead of the ubiquitous uniformed guards who repeatedly and sometimes even intrusively scrutinize visitors at places like the National Gallery of Art, the Phillips guards are, for the most part, artists and art students dressed in normal clothing.

"That was very much my father's intention, that visitors be made to feel at home," said Laughlin Phillips. "He was adamantly opposed to armed guards or even uniformed guards." The museum's guards, Phillips said, "know about the art and are able to answer questions intelligently and tell people where things are hanging."

The system has worked, Phillips thinks. But he added, "Since the good old days since my father developed these policies, the museum is better known and more visible and so we need to increase the security precautions."

Even in the good old days, however, there were sometimes problems. In 1959, Henri Rousseau's "Pink Candle" was stolen from the Phillips and recovered six weeks later, after a series of mysterious telephone calls and negotiations through anonymous intermediaries, from a locker in the Trailways bus terminal.

After that, the museum's guard force was more than doubled.