Malware

You can also run EtreCheck and post the results here using the Additional Text option when posting. There is most likely a program running on startup that is causing the warning to appear and EtreCheck will provide a snapshot of what your system is doing on startup. The report does not contain any personal information. This popup occurs most often when Anti-Virus or Cleaner programs have been installed.

Using EtreCheck - Apple Community

lorecontreras wrote:

My mac detected malware in my computer and tells me "it will damage your computer." When I click "show on finder" I'm unable to find the dowloaded item. I'm unsure of how to remove the popup from my screen.

?

If the Mac detected malware —it would have already dealt with it, and no notification in a pop-up.

Uninstall all third party apps that are Cleaners/Optimizers/Anti-Virus/VPN

all known to cause issues on the macOS

Stop unwanted Notifications - Apple Community

Recognize and avoid phishing messages, phony support calls ...