If the phone was stolen, it's unlikely that you'll ever get it back. But if you mark it as Lost, and the thief does not know your passcode or your Apple ID and Apple ID password, you can make it an Activation-Locked "brick" and hopefully deprive them of any ill-gained profit from having stolen it.
Beware of "phishing"! A thief, fence, etc. may send messages to you, claiming to be from Apple Security or some such, and wanting to "reunite" you with your phone. What they actually want is to get your credentials, and/or for you to remove the phone from the list of devices that are associated with your Apple ID. That would let the thieves remove Activation Lock and "make your phone their own."
Apple never gets involved with lost and stolen phones, which is one clue that such messages are scams.