How do I deny an Activation Lock request and locate a stolen iPhone?

Getting the location of the stolen phone is only possible if you had FindMy turned on, and the device has battery power, and if it able able to make a network connection or there is another Apple device nearby to transmits its location. Apple cannot tell you its location, that is information only available to you through Find My when all those conditions have been met.

How to find your lost iPhone or iPad - Apple Support

As for a message sent to you, don't respond to it as the person who stole your phone is trying to get you to give them the information to allow them to reset the device.

Trash that message. It is a scam that is trying to trick you into revealing your personal account information......so the scammers can take over control of your iPhone.

Do NOT do anything.

Apple will never send a message like this, so you know that the message was not from Apple, although it might "appear" to be to try to trick you.

I'm sorry, but the phone is gone.

Please follow what Bob Timmons told you. If you reply to that message, you'll give the Thief everything they need to erase your phone and use or sell it. Just DON'T do it.

Do, contact you carrier to ask them to blacklist the phone so it can't be setup on any network as a cell phone in the future.

Accept that you'll never see the phone again. See this from Apple --> If your iPhone or iPad was stolen - Apple Support

Enjoy the new iPhone you will need to buy.

It's a scam. No such request will ever come from Apple. Do not engage with the message or provide your Apple Account or password.

click here ➜ Recognize and avoid social engineering schemes including phishing messages, phony support calls, and other scams - Apple Support

That’s the thieves phishing for your access.

If you log in using links in that phishing message, your Apple Account is now compromised and you’ll need to immediately try to reset the password.

The “police” or “Apple” may call and tell you your iPhone has been “recovered”, too. That’s more phishing.

And in any case, that iPhone is never coming back.

If you can’t see your phone in FindMy now, you’re NEVER going to see it again.

As everyone else has already posted:

Never ever reply to the criminals.