Yes, even a lost wallet should be reported to the police. This is because:
1. The person who finds the wallet can use cards in it like DL, green card, SS card, and credit/debit cards to commit crimes. If the police are aware of the lost wallet and the documents in it, that makes it more likely the criminal will be caught and/or convicted, and less likely you will be blamed for their misdeeds.
2. Some people give lost wallets to the police. That may enable you to recover the wallet from the police.
3. The police report gives you more credibility when you tell USCIS the green card was lost. There are penalties (including jail time) for filing a false police report, so although the police report is not 100% proof of anything, they are more likely to believe the police report than a simple verbal statement from you.
However, if the wallet only has a small amount of money, and had no identifying cards in it, it would be a waste of your time and the police's time to report it being lost.