My iPhone got stolen a week ago, the lost mode is pending as it appears offline. Today a got a message saying Apple ID was locked, I entered with my laptop and it is OK. Is sb trying to enter to my account?

It is a common scam to send a message that appears to be from Apple. If you respond to the message and log into a site that appears to be Apple but is not, your password is divulged and the thieves use that to turn off Activation Lock on the phone.

They don't have access to the data on your phone if you had a passcode on the phone before it was lost, but if you divulge your Apple ID password they can potentially access any data that you had synced to iCloud (unless you had two-factor authentication turned on for your Apple ID).

If you did respond to the message and used a link in it to login to your account, change your password immediately if still possible. See: Change your Apple ID password - Apple Support

and

If you think your Apple ID has been compromised - Apple Support

It would be recognized if it goes on line without the Sim card. Find My uses a WiFi connection.