Message from Apple. Phishing??How?

I lost my iPhone and I got this text message from Apple.

The same source where I got all my Apple verification codes.

I checked my Find My iPhone, and saw that my phone was still OFFLINE.

I got suspicious initially but curiosity got into me and since Apple sent me the link, I trusted it.

I logged in to my account through the link - it won't stop loading.

I panicked and I checked my Find My iPhone apps right away and all my devices are GONE.

Then I got this e-mail:

Note: 11:28 PM PDT is 1:28 PM in my Time zone.

I've changed all my passwords but I'm still afraid and concerned with the safety of my data and my Apple ID

Can someone explain what is happening? Can Apple explain? How come they sent me links like these??

I couldn't find my device on Find my iPhone

But it seems that it is still signed into my Apple ID.

What could happen if I won't remove the device, considering the thief has my phone? (And I've changed the password)