My iPhone has been stolen and shows offline when I check with the My Find app, what does it mean?
Assuming you previously enabled Find My on your phone, if the phone shows offline, the battery has run down or the phone does not have a connection to the Internet at its current location.
If you did not enable the Find My option on your phone, the phone will never appear on a map when you try to locate it, even if the battery is OK and the phone has a good Internet connection.
Is it possible for the thief to unlock my iPhone
No, assuming that you did set up a passcode on the phone.
Also should I have any hope to locate my phone if it turned on and not connected to the data ?
As we mentioned above, the phone would have to have had the Find My option enabled, a good battery charge or be connected to the power adapter......and.....the phone would need to have an Internet connection where it is located.
I'm sorry, but realistically the phone is gone. You need to protect yourself by following the steps in this Apple Support document:
If your iPhone, iPad, or iPod touch is lost or stolen - Apple Support