Just like your credit card, your phone is just a paying instrument: it doesn’t contain any money. So, if you lose your phone, you won’t lose your money. Your Lydia balance is still available and you will find it when you log into your new phone.
For your peace of mind, you can still call the support team to ask for a temporarily suspension of your account. Nobody will be able to use it then. The support is available by phone (+331 79 75 40 30) or by email (email@example.com).