Can't do anything if it's switched off.
What phone is it? If iPhone, you have a few options of at least locking/wiping it--retrieving it is probably not something you want to be doing on your own; report it stolen, keep yourself save, and get another phone.
If it's android, and you enabled device manager, if it's turned on and connected to a data network, you can locate, ring, erase the phone remotely. Again, I would not bother trying to retrieve it yourself. No use risking your safety for a phone.