I have an iPhone 11 with iOS 15.5. "Notify When Left Behind" is not under the Notifications in the Find My App. Any suggestions?

You can use Notify When Left Behind on an iPhone with iOS 15 or later, iPad with iPadOS 15 or later, Mac with Apple Silicon, and with Find My items. For AirPods Pro, AirPods Max, and AirPods (3rd generation), you need an iPhone 12 or later. 

You have an iPhone 11 and therefore that option is not available to you.

Axel F.

UPDATE: Axel Foley’s response is much better than mine for this case. I will leave the response below for others who may have an iPhone 12 or later.

Carefully read and understand the article linked above.

Realize that to have "Notify When Left Behind" available for your iPhone, you would need some device with you (very likely an Apple Watch) that would be aware of your location and assumed to always be with you. If you simply have an iPhone that is assumed to be with you, that is insufficient as there is no way of knowing you are somewhere else.