What should I do?

If the message comes back that AT&T has no record of the IMEI number, that means the phone was never activated or used on the AT&T network, so there is no record of it in the database.  Since you said that the phone was new, even if it weren’t stolen, the phone wouldn’t meet the minimum usage requirements for AT&T to allow it to be unlocked.

If the phone were reported lost or stolen, it would be blacklisted and wouldn’t work on any network.  If it had a balance due, or didn’t meet the minimum AT&T usage requirements, then it would generally only work on AT&T.  Either way, unlocking isn’t going to happen.

Google att unlock portal

See if you can get it unlocked or return it. To unlock: https://www.att.com/deviceunlock/

I have already tried that I might just have to call them and explain everything..because it’s a brand new fresh out of the box phone 

What error are you getting?

The fact that it’s a brand new apparently still sealed in the box phone means nothing as to whether it’s locked or not.  It also doesn’t mean that it’s not stolen, or fully paid for, or has met the minimum service requirements.  All you know is that someone sold you a phone on the internet.

@dwill05 you are absolutely correct. But let’s say it is stolen what’s gonna happen from here? I’ve tried unlocking it through the att.com/deviceunlock and it says they have no record of the IMEI number I entered so that could mean this phone was intercepted before reaching its destination. Hopefully not though because it’s mine now and I don’t know what I could do with it from here..(Edited per community guidelines) smh 

A brand new phone would not yet be locked. Per Apple’s flex lock policy, it locks to the first carrier activated on. If it is locked to ATT, it’s not new. It has at the very least been activated.

I’m leaning towards stolen if so you have an expensive iPod

@dwill05 Something isn’t adding up here. Due to Apple’s flex lock policy, the only way the phone would be locked to ATT is if it was activated with an ATT SIM card. I’m talking Apple activation, not cellular activation. You can activate with a deactivated SIM card which would explain ATT having no record but at the very least, the phone has to have gone through Apple activation to be locked.