My iPhone

Apple does not send SMS messages about lost phones. Those are normally sent by the thieves trying to get your information so they can access the device.

If you gave any details through the SMS, then change your password for your Apple ID.

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

Not Apple, not an Apple website. Again, those messages are coming from the thieves that took your phone trying to get details from you to be able to access it.

Apple does not send SMS messages at all for lost or stolen iPhones

Those messages are not from Apple.