To change the IMEI number of a phone, you need professional equipment and a lot of knowledge. Beyond the scope of most thieves. Find My Phone only works if setup/activated & turned on, and the phone is connected to the Internet. It was never marketed as a way to locate stolen phones, only lost phones. Fact is, carriers won't even track lost/stolen phones without a court order, and carriers can see every phone on their network. About the best your carrier will do is Blacklist the phone, if they even offer Blacklisting.
Most thieves know to turn iPhones off, they force them into recovery mode & restore them. This defeats Find My Phone & removes any passcode.
Report the loss to the police, your carrier & Insurance company. Change all of your passwords.