Most likely what is happening is that someone at the station has an Apple AirTag. If they got on the same bus as you, it will appear on your iPhone as an AirTag that is following you.
This would be no different if you had an AirTag, attached to your keychain, and you went on a drive with a friend who happens to also have an iPhone. Your phone won't get this message, but theirs will.
The reason this is happening, it that by default, all iPhones participate in what is called the Apple "Find My network." This is basically how AirTags are able to provide their "location" to their owners with their iPhones.
The means of getting the "AirTag following you" message is Apple's response to people's concerns about nefarious individuals who want to use these tags for stalking others.
So, to more directly answer your question, you can "disassociate" an AirTag that is not yours. Doing so, would prevent you from trying to locate it should it be following you. In theory, then, once found, you can remove its battery to disable it.