बैग चोरी हो गया

You can use this phrase as a complete sentence. If you are at a police station, just say Mera bag chori ho gaya. If you are calling a friend, the same phrase works. You can replace bag with other items like phone or wallet. Just remember that the verb ending might change for feminine objects.

Use it immediately after discovering a theft. It works perfectly at a busy railway station. Use it when talking to security guards or hotel staff. It is also the first thing you would say to a police officer. It is helpful when you are in a state of panic because it is short.

Don't use this if you just misplaced your bag. If you left it at home, use bhool gaya instead. Avoid using it if someone is currently running away with it. In that case, shout Chor! Chor! (Thief! Thief!). This phrase is for reporting the fact, not for the chase.

In India, public spaces can be very crowded. People are generally helpful if you shout this out. There is a strong sense of community in markets. If you say this loudly, strangers might stop to help you search. It is a common phrase heard in travel safety briefings.

You can add mera (my) at the beginning for clarity. For a phone, say Mera phone chori ho gaya. For a wallet, say Mera batua chori ho gaya. If you want to be more formal, you can say Mera saman chori ho gaya (My luggage was stolen).