If this is an e-mail you received, or a popup on the screen, about the time you were actually logging in, there is probably nothing to worry about. The location in the e-mail is where your ISP reported it. If their servers are in a location distant from you, there will be a large error.
If that isn't the case, the e-mail may be a scam, especially if there is a link for you to click. If your question isn't answered, please provide more information.
You may want to consider adding 2 Factor Authentication or 2 Step Verification to your ID to increase security.
Apple ID -Two-factor authentication
Two Factor Authentification availability
Apple ID - Using app-specific passwords
Apple ID - Two Step Verification App Specific Passwords
Apple ID - Two Step Verifications FAQ