If you bought a locked iPhone, it will not include the SIM eject pin, as you are not "supposed" to change the SIM on a locked phone. All unlocked or ipHones that ship without a SIM will have the SIM clip/pin.
At least this was the policy until a few years back. I am not sure if this still applies as I have not bought a locked iPhone since the iPhone 3G.
Thanks for your help FELIPEV. Well I plugged my iphone to the itunes and I restored it to factory settings (due to battery draining issues, because when I bought the phone I made a back up from my iphone 4s) and after it was done it said "your phone was succesfully unlocked". Though the key or pin was not in the box. I will try with a clip as Lawrence FInch suggested.
I am very thankfull for your kind replies. Happy NEW YEAR