Activation Lock Problem
If you purchased the device second-hand, then it is useless without the Apple ID and password to which it is locked. If you don't have it and cannot get it, then the device is useless to you. Return it for a refund, if you can, or take it to an Apple store for an exchange provided they will help you. If you are the original owner then take the device, a copy of your purchase receipt and identity proof to an Apple retailer where they may be able to assist you.
Find My iPhone Activation Lock
If you can't activate your iPhone - Apple Support
Your correct action is to turn it over to the local police. Otherwise, you are in possession of a stolen device.