What do you not use? Face ID?
You don't need to set it up, but it makes using your iPhone a whole lot easier.
If you're worried about privacy, all of your Face ID data is stored and encrypted in the Secure Enclave on your iPhone, this data never leaves your device nor is it shared with anyone, even Apple. Read more here: Legal - Data & Privacy - Apple
If you'd still like to disable these notifications, follow these steps:
Open Settings > Face ID & Passcode > Enter your Passcode if asked > Turn off iPhone Unlock through Face ID.