It is referring something signing into your account, not simply attaching to the same network.
Did you recently set up Messages on your Mac? Do you use Messages on a Mac? I have had warnings like that pop up a day or more after setting something up.
It sounds like you have checked for any strange devices in your device list.
Read this document if you think your Apple ID has been compromised. --> If you think your Apple Account has been compromised - Apple Support
For iOS 15 or earlier, if you want to see if anyone else has access to your device or accounts, click here --> Checklist 1: Limit device and account access - Apple Support
For iOS 16 or later see how Safety Check on iPhone works to keep you safe. Safety Check for an iPhone with iOS 16 or later - Apple Support
Use the information in this document to check your Apple ID device list to find where you're signed in --> Check your Apple Account device list to find where you’re signed in - Apple Support
Related materials:
Personal Safety User Guide
Personal Safety User Guide - Apple Support
> open the Table of Contents and review the articles
A document with general information about security and your Apple ID --> Security and your Apple Account - Apple Support
Contact Apple for help with Apple ID account security. This page provides country-specific Apple Support contact information ➞ Contact Apple for support and service - Apple Support