You can only lock the phone yourself using Find My iPhone, and obviously only if you had set that up in the first place.
If you know the IMEI number you can ask your service provider (the people who provide your mobile contract, not Apple) to block the phone - note that this renders it completely useless and is permanent.
If you haven't set up Find My iPhone and you don't know the IMEI number there is nothing you can do, but you should contact your service provider in the hope that they will find a way to prevent a thief from using your credit on it. You can't stop them taking the SIM card out and using it with another service.