Your Apple ID is being used to sign in to a new device

Maybe I'm overlooking this, however IF another user is trying to get into any of my devices and It's asking for the secret code and it automatically pops up a dialog box that has the code on the same device, THEN this feature doesn't protect me at all because the user will have the code to get into that device.

I hope this makes sense. All I am asking is, how does one protect us from this scenario?

Thank you 

Ps, image is below: