If your phone is lost, there's no guarantee that you'll be able to retrieve any SMS messages that were stored on your SIM card. Depending on how your phone was lost (e.g., if it was stolen), it's possible that the person who now has your phone could access any SMS messages that are still on the device. Even if your phone is password-protected, someone could potentially bypass the lock and gain access to your SIM card data.
If you're concerned about the possibility of someone accessing your SMS messages, it's important to change any passwords or PIN codes associated with your accounts as soon as possible. You should also contact your wireless carrier and let them know that your phone is missing; they may be able to disable the SIM card so that it can't be used by anyone else.