I got a message about a device accessing my Apple ID account

Post a screenshot of the message.

Review devices signed into your account by going to Settings > [name on top] and scroll to the bottom to see the devices that are signed in. It is always a good idea to change your password if you feel your account has been compromised.

Update your Apple ID password - Apple Support

With that said, be aware of the many scams that will scare you into providing your Apple ID/Password for verification or a message that provides a link to a fake site.

Was the message reporting the access around the same time as your recent access?

Some of those are phishing;

… Recognize and avoid phishing messages, phony support calls, and other scams - Apple Support

You can hover on the links to see where they’re going, but I wouldn’t use and trust the links. Legitimate Apple messages will reference and link to Apple.com. Phishing and scams will link to some other domain.

Some of these messages are not legitimate, and are legitimate.

If you have two-factor authentication enabled and aren’t re-using your password, I’d ignore it.

If you don’t have two-factor enabled, I would enable it now. I’d also establish trusted telephone numbers, trusted email and/or recovery contacts.

If your Apple ID might have been compromised:

… If you think your Apple ID has been compromised - Apple Support

… Personal Safety User Guide - Apple Support

You can check which devices are loggedinto your App,e ID.

… Check your Apple ID device list to find where you're signed in - Apple Support