Find My iPhone does not give location but will play a sound?

The iPhone may be offline. You may want to check this info from Apple Support:

If Find My is offline or not working - Apple Support

I see my device in Find My, but it's offline

Learn why you might see "Offline," "No location available," or "Location Services Off," and what to do.

Why is it offline? 

• Your device is powered off or its battery has run out.
• It's not connected to a known Wi-Fi or data network. 
• If you turned on Send Last Location, more than 24 hours has passed since it connected to a Wi-Fi or data network. 
• You might be in a region where we don't offer this feature due to technical limitations or local law. 

What can I do? 

You can still play a sound, send a message, issue a lock request, or start an erase of your iOS device with Find My. Your device receives the command after you turn on your device and connect to the Internet.

or

If your iPhone, iPad, or iPod touch is lost or stolen - Apple Support (CA)

No, this does not have to mean that it is stolen.