I will go to entry and exit bureau, a police station is a police station I suppose.

WRONG.

I thought it would be wise to go to the local entry and exit bureau because most of the officers there speak English, and I can file a report at any PSB, yes? I also thought it would be wise because of the visa concern, kill two birds with one stone. I will go to entry and exit bureau,

WRONG.

Watch my lips. The PSB will not accept any information from you about your passport or visa without the paperwork/report from the local police station. You cannot just skip this step because you want to.....

You are putting the cart before the horse....it matters not what happens later. Nothing happens until you have filed a local police theft/loss report.

Forget the PSB.
Forget your Consulate.
Forget about your visa.

File the Damn Police Report at the station nearest where you believe your passport was lost/stolen. DO YOU UNDERSTAND THIS? Then go to the PSB with a copy of the report that you filed with the local cops. Lastly, go to the consulate of the country where your passport was issued with the PSB 'Statement of Loss of Passport.'

Fill out the consulate papers. You should have a new passport within ten days. When you have your new passport, return with it to your local PSB. Then, they will help you with your visa problems.