Filing a police report abroad is mostly about persistence and paperwork, and it matters because insurers will not pay without it. Go to the nearest police station or, better where they exist, the tourist police, who handle foreigners daily and are likelier to speak English. Bring your passport or a copy, details of what happened, and any evidence like photos or receipts for stolen items. If language is a barrier, your hotel can often send someone along, or use a translation app; some cities also allow online reporting for minor theft. The crucial part is leaving with a copy of the report or at least its reference number, so ask explicitly, since insurers typically require the report to be filed within a short window after the incident.
On embassies: they are more helpful than people expect, within limits. They will replace passports, issue emergency travel documents, provide lists of local English-speaking lawyers, contact family, and visit citizens who are arrested. What they cannot do is investigate crimes, get you out of jail, or pay your bills.
For insurance, photograph the police report immediately, keep receipts for everything replaced, and notify your insurer promptly, since most policies have notification deadlines written into the fine print.