First things first.
Since your package was tampered with, I do not expect you to have any details of the phone like the IMEI number, etc. Register a complaint with the website that you purchased the phone from. Even if you go to the police, they are going to ask you to talk with them first anyway. I suggest you talk to a senior customer care executive, which would be more efficient than just sending complaint mail.
Dive right in to the What Next? category. Follow the instructions given by the responsible people. Then file a police complaint if necessary. If you happen to know the vital details such as an IMEI from them, you have some base to search on.
There are many options available online to track a lost mobile phone by its IMEI number. If possible try it with your mobile company. They might have an advanced option to find it.
But honestly, how did you even accept anything that has been tampered with? Even if something like this happens, isn't it a failed delivery and the website holds responsibility for it?
I hope you did not sign the received receipt. If you have, I am afraid that you have no assurance for getting genuine help from the website, or worse, anyone.