How to turn on lost mode on my iPhone?

Turn off Mark As Lost on a device

When you find your lost device, turn off Mark As Lost.

1. In the Find My app  on your Mac, click Devices.
2. In the Devices list, select the device you marked as lost, then click the Info button  on the map.
3. Under Mark As Lost, click Pending.
4. Click Turn Off Mark As Lost.
5. Click Turn Off to confirm.

You can also turn off Mark As Lost from your iPhone, iPad, iPod touch or Apple Watch by entering the device’s passcode (the one you use to unlock your device).

Note: You can’t turn off Mark As Lost remotely from another Mac. You can only turn it off directly on the Mac that you marked as lost — by entering the numeric passcode you set up when you marked your Mac as lost.

If you forget your device passcode, you can recover it using Find My iPhone on iCloud.com. See Use Lost Mode in Find My iPhone on iCloud.com in the iCloud User Guide.

You can find the answer to your question, plus other good suggestions in the link below. I’ve copied the pertinent information here.

If your iPhone, iPad, or iPod touch is lost or stolen - Apple Support

Mark your device as lost or turn on Lost Mode for your item

1. Open the Find My app and choose the Devices tab or the Items tab.
2. Select your missing device or item.
3. Scroll down to Mark As Lost or Lost Mode and select Activate or Enable.
4. Follow the onscreen steps if you want your contact information to display on your missing device or item, or if you want to enter a custom message asking the finder of your missing device to contact you.
5. Select Activate.

Please watch till the end.

Watch this GIF below