Note that Stolen Device Protection is only available on iPhones that are able to run iOS 17, which includes the iPhone XS and newer. Also, make sure your iPhone is up-to-date and running iOS 17.3 or later (Settings ➝ General ➝ Software Update). Here's how to enable the feature.
Open the Settings app.
Scroll down and tap Face ID & Passcode (or Touch ID & Passcode, depending on iPhone model).
Enter your passcode at the prompt.
Scroll down and tap Stolen Device Protection.
Toggle on the switch next to Stolen Device Protection, then tap Turn On at the prompt.