Open System Preferences, click on Security and Privacy, scroll down the list in the left-side pane to the option Screen Recording and in the right-side pane review which apps, if any, have been given permission to record the contents of your screen.
You may find that you have given permission for applications such as Zoom, or remote desktop applications such as TeamViewer or Microsoft Remote Desktop to share your screen when using remote assistance from a third-party, if so these apps may be set to run at start up allowing remote users to view your screen.
If any are found enabled, and you don't use them, you should click the lock symbol at the bottom of the page, enter your user login password to release the lock and then deselect all apps in that list to ensure they cannot view your desktop (or screen as the message is referring to), when finished, click the lock symbol again to prevent unauthorised changes.
Other than the above, have you recently been contacted by any third parties claiming to be from Apple, your bank, or some other government or "official" agency claiming that your computer is infected with a virus and asking you to allow them to cary out a remote "repair", or asking you to install some software which will "fix" the problem.
If so you have been scammed into installing spyware which seeks to gain your passwords to your on-line bank accounts, and other useful information to criminals.
If this has occurred you should stop using the Mac and seek professional help to remove such spyware from your Mac.
You could also try running the free trial version of Malware Bytes software on your Mac, it may be able to find common malware of this type and remove it for you.
https://www.malwarebytes.com/mac
HTH
Will.
