We have Cisco Catalyst 2960-S switches,
And we noticed some employees plug out the internet cables to connect them to their Lab top.
I want the command that I can use to make the port shutdown when someone plug out the cable from the PC.
There's no such thing as block port administratively when it comes down operationally. Though as you mentioned in the tags, you can use port security for that and configure maximum MAC addresses per port. For example:
interface X switchport port-security switchport port-security maximum 1 switchport port-security violation shutdown
Violation mode defaults to shutdown, so this line is optional