Upvote:2
As @badjohn mentions, going to the ticket office (or any staff at the railway station) will work.
If you are not able to go to the office or do not notice your loss till later, there will be a way to get your things. Most railway companies have a central location or information office.
Again any staff member of the company can tell you where to find the information you need to approach the right office.
Getting things send to you or even to pick it up at the central or local office may cost. Which is how the railways pay for the cost of having the service, with the actual sending cost on top of that.
I found the relevant information for the Portugal railway company by entering portugal railways lost and found
into my normal search engine. This will work inmost countries.
Upvote:12
Go to the ticket office at the next major station and inquire. You may need to return later as they will not know until the train is cleaned. In your case, it will continue to Faro and then return to Lisbon. So, you might need to wait until the next day. The office will be able to inquire on lost property via the web. If there is a probable match then they will call for further details. Have your ticket if possible as they will want the train number.
If your bag is found then you could go to claim it or ask for it to be transferred to another station. However, the transfer procedure is complex and there is a fee. Going to it is probably easier.
We lost a bag with moderately valuable contents yet we were able to recover it. It is worth trying. Don't assume that it will be stolen.