as soon as you get the new passport, update the number with CIC.
not sure if you should report it to Police, but definitely check with your embassy. (a police report can be helpful)
also, if there was any visa stamped/permit attached in the passport, you need to do the following :
http://www.cic.gc.ca/english/helpcentre/answer.asp?qnum=045&top=12
update your file when u get the new passport, and include a letter of explanation about losing it (this is where u can use the police report).
if i were you, i would also call cic to check if any other steps are required.