How can I set passcode on my iPhone when turning off

Hi! It's not possible to enable a passcode to switch off your iPhone, but you can change your passcode options when unlocking your iPhone: Use a passcode with your iPhone, iPad, or iPod touch - Apple Support. Unless you're asking about something else?

Feel free to let me know!

Switched Off? Still traceable

Even if the iPhone is switched off it is findable, see the pic below.