iCloud possibly erased? Phishing

Hello! last month someone stole my iPhone 5s, though it had the "Find my iPhone" on and everything necessary to block it, last week some fishy messages started to reach my new phone saying that they found my phone and needed to enter a link. My antivirus detected that link as a phishing link, so I was constantly alert to my icloud account, in case any of the hackers tried to steal my password, and today I tried to enter to my icloud account and this message appeared: "Set up iCloud on a device to use iCloud.com. Your Apple ID must be set up iCloud on an iOS or OSX device before you can use iCloud.com"

Does that mean that they got through my password and erased everything that was on my old phone? Thanks for the help!