How can I track my lost AirPods?

I believe I may have lost my AirPods 2 and I’m unsure about what steps to take. In the Find My app, I don’t see the "Mark as Lost" option, but I do have the option to "Remove from Device." Should I remove them? I’m concerned about the possibility of data theft (though I’m not sure if that’s even possible). On the other hand, I also don’t want to make it easy for someone else to use them. What would you recommend?

Thank you