I import 40000 XY datapoints in ArcMap. There is another third field with 40000 different values. I would like to classify all these values in just 5-10 classes but this option doesn’t appear when I open the symbolology. Any idea?
As @SaraBarnes said in the comments, you will likely first have to export the file to a shapefile or feature class. Next, in order to classify unique values, you have to "Add All Values" or add specific values you'd like to classify with the "Add Values..." buttons in the Symbology tab, as shown below.
You can then set symbology based on those values.