I have lost my phone and can't find it with find my I phone app.

If you had Find My enabled, it will only work if:

1. The phone is powered on
2. It is connected to a network

See this link about what to do if your phone is lost or stolen --> If your iPhone, iPad, or iPod touch is lost or stolen - Apple Support

Powered off it can't be tracked.

Make a police report and ask your carrier to blacklist it so it can't be used.