Because of the potential for the exposure of personal data and saved passwords, losing your smart phone is a serious problem that extends beyond Single Sign-On. It is recommended that your first priority be to work with your carrier to wipe or disable your lost device as soon as possible.
In regard to Single Sign-On, if you have opted to use Two-Factor Authentication and lose the device you registered with SSO as your second authentication factor, you need to contact your department or central administrator to rectify the situation.
In such a situation, the administrator’s easiest response will be to remove the device(s) you have registered with SSO’s Two-Factor provider. This will allow you to set up a new second factor device the next time you log in to SSO.
If you have some devices registered with SSO that you want to save, the administrator can delete only the lost device. He/she can also add a new device for you; however, this can only be done for landlines – e.g., your office phone – and the administrator will necessarily need to establish your identity beyond a reasonable doubt before proceeding.