What to do when my iPhone gets stolen

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

Other things I strongly suggest that you do in this case:

• Immediately change your Apple ID's password.
• Contact your local law enforcement agency and report your phone as stolen.
• Contact your cellular provider and report that your phone is stolen. They can then "blacklist" this phone so that it cannot be used on any cellular network.
• Whatever you do, do NOT remove this phone from your Apple ID device list. Doing so would disable Activation Lock which is Apple's anti-theft measure.
• You may want to consider contacting each of your financial institutions to report that your phone was stolen and potentially the thief could gain access (not very likely if you leave Activation Lock enabled) to your financial information.
• Do NOT respond to text or email messages that claim they have your phone. Apple will definitely NOT send these types of messages as they do NOT participate in recovering stolen phones. They only provide you with both Activation Lock and the ability to "track" your phone via the Find My service.