I hate to be the bearer of bad news for now however I have to do it.
The message that you received was a scam/fake message. The finder or the stealer of your iPhone sent you a fake/scam message with a link for you to click on. You clicked on it and probably entered your Apple ID and Password. That was captured by the other person and then removed your device from under your Apple ID. In the process, Activation Lock was removed as well.
Note that Apple will never send you an email or a message about your lost iPhone because Apple is not in the business of locating lost iPhones. You were scammed. I recommend that you change the passcode of your Apple ID immediately.
Call your carrier and report the iPhone stolen and have them put it on the blacklist so that it cannot be used again. You may need your serial number to get this done with your carrier.
Axel F.