How can I enable the “Stolen iPhone” feature if my iPhone is not connected to the network?

Follow these steps: If your iPhone or iPad was stolen - Apple Support

Stolen Device Protection cannot be enabled remotely, and — much like having backups — the necessary setup must happen before iPhone loss.

You may get a call or text from “Apple” or “police” reporting your iPhone found, and seeking a demonstration of your credentials as proof of ownership. That’s the thieves. Don’t provide your Apple Account credentials.

If you mean the “Mark as Lost” feature available thru FindMy … that will take effect as soon as the phone IS connected to the internet.

Rest assured that the data on your stolen phone remains well-protected by your passcode; even if you do absolutely nothing.