Yes report it being lost in case someone else uses it.
Remember a driver's license is a primary form of ID (even without your social security number).
Think about the possibility if a business did not examine the license closely when someone else used it.
For example, it is easy to produce phony checks using a computer or change payees on stolen checks. What if someone used your license when writing bad checks, who will the business say wrote (or cashed) the bad check?
So by reporting it lost you help protect yourself against fraud being done using your name.
The DMV has a web page urging reporting a lost or stolen license and the steps to take.
Identity Theft - Have You Been A Victim of Identity Theft?