Should I provide my IMEI number for a lost iPhone claim?

I agree with Phil and believe you're being scammed. If the concert was in California, but the phone shows up in Chicago, something is hugely amiss with that. I'd contact your carrier and blacklist the phone and consider it lost forever.

Do NOT remove the phone from the Apple Account in Find My. It can never be used by anyone if its never removed. Don't be surprised if you start getting messages saying your phone has been found and all you need to do is provide your account details as that is a total scam. Apple will never send you a message about a lost or stolen phone.

They can't unlock the iPhone with the IMEI no, but they can submit a report to the carrier for a stolen device and have it blocked. Though that does not really work for trying it to access or use it. The IMEI is just a Id number for the carrier to use. It doesn't do anything else.

Not sure why they are asking for the IMEI number, since they can't actually see it anywhere on the iPhone unless it's unlocked. There's no way for them to compare it with anything except if it has a SIM card tray. The IMEI could be seen on the tray there and compared, but that's about it.

However, if Find My is showing it's in Chicago, I doubt they actually have it any way.

At this point, consider it lost forever.