As far as I know, there is no way for you to retrieve data remotely from an iPhone. The only way you will get your messages back from the iPhone itself is if you get really lucky. (I.e., the police bust the thieves and recover your phone, and you didn't already ask the phone to Erase itself, and the thieves didn't try wrong pass codes so many times that the phone went into Security Lockout mode, which would force you to erase it to get back in.)
So what you want to do is to try to recover messages from iCloud synchronization, from iCloud backups, or from other devices.
If you were synchronizing Messages through iCloud
You'll probably get them back as soon as you connect another device (iPhone, iPad, Mac) to the same Apple ID – and turn on iCloud Message synchronization on that device.
I would suggest using the iCloud Web interface, except that it doesn't appear to offer any way to view Messages synchronized through iCloud.
If you were not synchronizing Messages through iCloud
Your Mac still might have been receiving copies of iMessages, and of SMS/MMS messages forwarded from your iPhone. (That's how I'm running now. My Mac doesn't have copies of any of my iPhone messages from before it (the Mac) was set up, but it appears to have copies of everything from that point onward.)
Your messages also might be in your iPhone backups in iCloud – from where you could get them by restoring the old iPhone's backup to a new iPhone.