Immigration: Lost/Stolen Passport having Valid Visa

As per: https://travel.state.gov/content/travel/en/us-visas/visa-information-resources/lost-stolen-visas.html

Lost or stolen U.S. visas cannot be replaced. For replacement of a visa, you must apply in person at a U.S. Embassy or Consulate abroad. When applying for the replacement of a visa, you will need to provide a written account documenting the loss of your passport and visa. Include a copy of the police report.

Here are brief steps:

• Go to the local police station and report your lost or stolen passport/visa.
• Report your Visa Lost/Stolen to the U.S. Embassy or Consulate Abroad 
• Applying for a Replacement U.S. Visa