Received a message from Apple that someone tried to log into my Apple Account

There are false messages claiming to be failed logins, and many other ruses, and many seeking to get the recipient to use the links embedded in the message. Those go to a fake “Apple” login webpage. That ends badly.

There are also the legitimate two-factor authentication codes shown by Apple iPhone and other Apple gear, and those messages can mean somebody knows the password. If the login was not yours, then changing the password is appropriate here, as compromised passwords and re-using passwords ends badly.

If you were re-using passwords, change that compromised password everywhere it was used, preferably to a new and unique and robust password.

If you want to see where your credentials have leaked: https://haveibeenpwned.com/

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Two-Factor Authentication (2FA) did exactly what it was supposed to do. It protected your account. It prevented someone from logging into it. Because they never logged in, you wouldn't see any strange devices listed.

Without sophisticated and expensive forensics, I doubt it's possible to determine with certainty who it was. However, it sounds as if it could have been someone who knew your password. So, changing it was a good precaution. Of course, it could also have been a random, computer-generated attempt that got lucky.