I've lost my old passport and I have a new one. So do I need to make new visa or can I just leave the country? Because I'm leaving in 3 days.

(Sorry if bad English)

Thanks

You need to go to immirgation with a police report about your lost passport and a letter from your embasy (if they gave you one). Also bring a copy of the new passport.

At immigration you need to fill in a form about losing your passprot and Immigration will then look up your details and give you your old permission to stay, etc. (If you still have a valid visa, that will be lost. But you keep the date till when you were allowed to stay in Thailand).

Well when I picked up my passport at the Swedish consultation, the kept the police report. Is the police report really important?

If you do not have your old passport it is required to prove why.

Better ask for a copy from either the police or the embassy. Immigration wants to be sure the passport is listed as missing/stolen.