I'll raise a counterpoint to the other answers.
Consider what you would achieve if you returned your passport, driving licence and EHIC card and applied for new ones. The thief would still have a copy of your old, seemingly unexpired, documents. I can't envisage many situations where an authority that would have the ability to check document validity, would not require seeing the physical document. Hence, replacing these does not appear to mitigate many risks; any company that would accept a photocopy, probably does not have the desire or capability to check lost and stolen databases.
The credit card number does expose you to a small risk, but the thief does not have the card expiry date nor CVV code. All credit card companies would cover you for misuse anyway, so I would probably consider requesting a replacement card when I returned home, but would not consider the risk worth losing access to my credit card by blocking the card while I was away.
Given the amount of details that the thief possesses, I would consider signing up to an identity theft protection service. Depending on your country of residence it may also be possible to block new credit requests in your name. e.g. https://www.consumer.ftc.gov/articles/0497-credit-freeze-faqs