I want to listen my local FM stations without using Internet, GPRS etc.
You said "without using Internet", so the answer is "You can't". The iPhone 6s Plus has a built-in FM tuner*, but it is disabled and has no connected antenna. You would need this to listen to FM radio over the airwaves, and there's no app to make it happen.
Another alternative would be an external radio tuner dongle, but these seem to be hard to find for the newer iPhones. One example: 8pin Lightning Compatible FM Radio for iPhones / iPads / iPods (no affiliation).