If your phone is lost, you should get your SIM blocked by calling the TSP(telecom service provider). You can either do it by using someone else's phone or visiting the outlet of the service provider. You should carry all the required identification documents.
Getting your SIM blocked doesn't mean that your WhatsApp has been blocked. WhatsApp can be operated even when the number is blocked.
The next step is to get a new SIM with the same number. For this, you will have to prove your identity by using IDs like Voter ID, Passport, or Aadhaar.
Once you have the new SIM card, you need to activate your WhatsApp on another device. Since WhatsApp cannot be used simultaneously on two devices, it will log you off from the stolen device. Thereafter, you will be able to use your WhatsApp from the new device.