Stolen iPhone with “Find My Phone” turned on was disabled by thief

Apple has nothing to do with blacklisting devices anywhere including Europe. Apple does not even take reports of lost or stolen personal property. Carriers blacklist devices since they own the cellular networks. In the USA there is a universal blacklist - if using a USA carrier for service, report a lost or stolen phone to that carrier and it will be blacklisted in the USA. Most or all Canadian and Mexican carrier’s also honor that blacklist.

Anyone can restore an iOS device in iTunes, which erases it and breaks the remote connection for location tracking. As long as you leave that device listed under your AppleID and trusted devices though, activation lock prevents anyone from setting the device up and using it - Find My iPhone Activation Lock - Apple Support

Reported it stolen to who?

How did you receive this notification, and what did it say exactly? Did you try to log into iCloud directly from this message?

How are you sure that Find My iPhone was turned off?

If you had Find My iPhone turned on, while the thief may have wiped the phone to try and access it, it means that your data was wiped from the device. With Activation Lock on, they will not be able to activate the phone, it is useless to them.

Apple does not blacklist devices, even in Europe. Only the cellular carriers can blacklist phones. Depending on your location, they probably do, however there is no international blacklist, so even if it is blacklisted in one country does not mean that it will be in another. A lot of phones stolen in the US are shipped to Europe when the US blacklist does not exist.

I would say that your data is safe.