Yes, normally it will be up to you to come with the down payment on a new car to replace your vehicle that was stolen.

Your insurance company, going through the Comprehensive coverage part of your full coverage policy, should have settled with you for the actual cash value (ACV) of your vehicle.You also noted that you had Gap insurance meaning that you likely were upside-down on your loan or lease meaning that you owed more to the lien holder than the fair market value of the stolen vehicle.

So if your Comprehensive coverage and Gap insurance paid out than typically this would mean that your financed amount was paid off in full since Comprehensive should have paid ACV and Gap insurance paid the difference between ACV and the loan balance.This is how these coverages would "make you whole" and unfortunately does not leave any extra money for you to make down payment on a new vehicle.

If you had owed less than the car was worth than your Comprehensive coverage would have paid out ACV for your vehicle and since you in this example you didn't owe as much as the ACV any extra money would have come back to you after the lien holder was paid off.

To discuss the specific terms of your auto insurance policy though and make sure your settlement included all that it should for your stolen vehicle you can contact your claims adjuster.