Since the digital coins of value in your wallet are anonymized, the exchange can not assist you in recovering a lost or stolen wallet. Just like with a physical wallet for cash, you are responsible for keeping it safe.
Your wallet stores digital coins that are <a href="https://en.wikipedia.org/wiki/Blind_signature">blindly signed</a> by an exchange. The use of a blind signature protects your privacy as it prevents the exchange from knowing which coin it signed for which customer.