You'll need to file a police report for the lost license and when you get the report you can bring it to NJMVC agency once you make an appointment for the change of states.
@Braian Lugo you need to contact the MVC of the state you originally received your license from and informed them you lost your license. You will go through process with them to get a new license. And when you have your new license then you can change it to another state. You can't change license from one state to another when you don't have the license with you or is lost. Because MVC will asked for it and they need to see it. Also for security reasons say if someone find your lost license and they do bad things with it, it will still go into your name and record because you didn't report it to MVC. And that license is still active until you get a new one or report it to MVC so they can restrict it.
Thanks! Your answer is awaiting moderation.