What steps I should take for data security and prevent misuse of my lost iPhone? I lost my iPhone 4 and mistakenly wiped it using "Find my iPhone" from https://www.icloud.com/. Can i even track it? It was locked by password.

Now I think it's sure that I can't track my phone. I don't have bill of the phone and I also don't have IMEI number of phone.

Even that I have wiped it, should i worry about anything else? My one point if the phone can used for illegal activities it can be problem for me. Is it possible to track me by a wiped phone?
Call your phone carrier and disable your sim card and report the phone stolen to the police. If law enforcement finds evidence that the phone SIM, serial number or IMEI were involved in illegal activity, a dated police report is something they may consider when investigating a crime. Of course, a bad person could report a phone stolen and still use it for crime, so you can't really get the carrier or Apple to erase their records but just do what you can if you lose a possession.

You won't be able to use "Find My Phone" as you've erased all the data on the phone. So yes, you might get tracked down if there are records that you once owned or operated that phone.