I received a message that my Apple password was in a data leak do I need to change my password

Could well be phishing. I have never heard of Apple sending such a message.

If ever in doubt about a communication’s authenticity, use an independent way through Apple's own resources for checking what the communication claims. 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

Don't click any links in a message to change your Password. Go to Settings > Passwords on your iPhone and choose the Security Recommendation option if it is available on the top of that screen. You will see a list a passwords that may have been involved in a data leak and you can make the changes from there.