I've never really had any problems in Macau, but live for long enough, and you're bound to get pickpocketed somewhere. Consider this a relatively inexpensive lesson – it's just a phone, not anything truly important or difficult to replace.

I wouldn't really bother reporting it to AT&T, as the chances that anyone who stole your phone in Macau would ever attempt activating on AT&T are so slim that I wouldn't consider it worth the hassle. If you'd had your AT&T SIM in it, of course, you'd want to report it, but in this case...

As others have said, for future reference, don't carry valuables in unlocked outer pockets of backpacks.

And look at the bright side! You now have an excuse to upgrade to an iPhone 4!