The information below is based on Apple's support article: How to generate a recovery key - Apple Support with quoted excerpts. Each section outlines the different situations and the strategies that may relate to use of a recovery key. If you are not familiar with trusted devices and numbers, see this support article —> Two-factor authentication for Apple ID - Apple Support
- If you still have access to your Apple ID and password but have lost your recovery key:
"You can generate a new recovery key from Settings or System Preferences on a trusted device." Refer to the steps in How to generate a recovery key - Apple Support about how to do this on different types of equipment (Apple equipment only).
- If you have forgotten your Apple ID password, have lost your recovery key, but still have access to a trusted device.
"you can try to regain access using your trusted device protected by a passcode." The process is outlined in this support article: If you forgot your Apple ID password - Apple Support This does not involve using a recovery key.
- If you have a forgotten password and you do not have access to a trusted device:
"you can use your recovery key, a trusted phone number, and an Apple device to reset your password."
- If you have lost your recovery key and have lost access to both your account and trusted items:
A recovery key is designed as an alternative to Account Recovery ( How to use account recovery when you can’t reset your Apple ID password - Apple Support ) which is where Apple helps you regain access to your account. However, "when you generate a recovery key, you can't use account recovery." You can try to contact Apple (see: Contact Apple for help with Apple ID account security - Apple Support ), but to me the previous statement implies that setting up a recovery key excludes Apple from being able to do anything. Apple says: "Using a recovery key is more secure, but it means that you’re responsible for maintaining access to your trusted devices and your recovery key. If you lose both of these items, you could be locked out of your account permanently."
I am a bit concerned about this "message" you say you received. Scams (e-mail, text messages, and phone calls) are getting very good at closely imitating true Apple communications. Always be cautious. These support articles have some guidelines:
About identifying legitimate emails from the App Store and iTunes Store --> Identify legitimate emails from the App Store or iTunes Store - Apple Support
Recognize and avoid phishing messages, phony support calls, and other scams - Recognize and avoid phishing messages, phony support calls, and other scams - Apple Support
Avoid scams when you use Apple Cash --> Avoid Apple Cash scams - Apple Support
Apple 'How to identify, avoid, and report phishing' video--> https://youtu.be/SR3Z3fXXjfw
About Gift Card Scams --> About Gift Card Scams - Official Apple Support
If you are uncertain about a message and a resource provided in that message, do not click on any links in the message. Try to independently verify the resource by going to a support article page on apple.com and use the instructions in the article to verify though Apple itself, or your Apple device features such as Settings or an Apple app, what the message is claiming. To ask Apple start at this web page: Official Apple Support