Lost Iphone

Apple does not send out such messages, it is a scam designed to get your personal information. Please do not send your personal information or Apple ID.

If you did give them your information, change your passwords immediately!

Recognize and avoid phishing messages, phony support calls, and other scams - Apple Support

Hello ~ That sounds like a scam to me as Apple doesn’t get involved in lost iPhones or send messages. It is likely someone trying to scam you out of your information or Apple ID. Have you given them any information? If so…

If you think your Apple ID has been compromised - Apple Support

Recognize and avoid phishing messages, phony ...

~Katana-San~

Good, you did the right thing by not giving any information. That message was not from Apple or the police.