I finally got it back (yey!), so for people with the same problem, here the different solutions:
Ask them to send it directly to you: Work only if you have a friend or an adress in Japan. They refuse to send it outside of Japan.
Using a janapese package forwarding service (see fkraiem comment) to send you the item: It may work if the item is still in the lost&found of the Tokyo Japan Rail (they keep it 3 days). You have to ask the JR to send the item to the shiping company so that they can send it to you. Beware that as people have noted in the comment they may not accept to send a phone because of the lithium batteries, but most of the time it should be fine.
This does NOT work if the item is in the police station, because they will charge a fee for sending it and shiping company doesn’t accept to pay fee (even if you want to pay them for that also). (I am not sure if the JR L&F ask for a fee!)
Finding somebody in Japan ready to send it to you: OK, but you have to trust someone you may not know. Can still be ok because Japan.
At the end I found a collegue working in Japan who manage to recover my phone from the police station and bring it back to me.
It has been a long way for me, my colleague call the police station 3 times to be sure to have all the documents, I hope this will helps!
Credit:stackoverflow.com‘