If your phone is already lost then the message you send via Find My Phone needs to include a number to call or other contact information.
It's best to prepare ahead of time by including contact information on your lock screen. In fact, it's even better to include emergency contact info, so that in case you are involved in an accident, emergency services personnel can easily look at your iPhone and call your emergency contact. (Yes, they check your phone for just that purpose.)
is was a convenient and free app called If Found that makes such a lock screen image for you, but it, along with If Found, Please have been taken down. There are a few $0.99 apps that still do it. If someone knows of a free one, please edit this answer to include it here.