Welcome to the forums!
Sorry to hear that you've lost your phone. Unless you have one of the many phone tracking apps installed, you could well have lost it for good. I'd speak to your provider - they can block the phone's EMEI number, meaning it is no longer useable as a phone. I'd also text the phone, before the EMEI number is blocked, to see if the person who has your phone will return it.
Just one more idea... have you spoken to the gym, to see if it was handed in?
Hope you manage to find your phone again!!