When your phone is located using the "Find my phone" feature, it pops up a notification on the phone (this phone has been located). Of course, if they had physical access to your phone in the past, they may have blocked this notification, but it is provided by Google Play Services, so that requires to block a wide range of notifications (eg. all "app update available" notifications iirc).

On the other hand, they may access your location history, if you enabled that, and see where you went in the (possibly very recent) past without any notification.