Of course you can trace it... But, usually the police have to initiate the trace. Further, consider the COSTS involved. Your provider would have to dedicate resources to retrieve the phone - it's more economical for them to have you buy a new one. Further, even if they do trace it, most have privacy policies that would require the police (as mentioned before) to initiate the call - may stink now because it's your phone, but many people would otherwise like to track down girlfriends/boyfriends for the wrong reasons (I've seen questions like that asked here). It would cost more in time and resources to investigate every claim of a lost phone than to tell you report it to the police - THEY can do whatever they want about it
(At least that's my understanding of this).