These leak lists come from analysis of websites or institutions that have been breached for some reason and login information has been revealed. The warning message in the password app simply means that the password you use for Apple has been found in one of the lists. That might be because it's a common password that someone else has used, simply a coincidence or, as shoeluvr13 says, that you have used the same password for something else which has been breached.
If you use the same password and email that you use for Apple for, say, a shopping site and the site gets breached then the crims will try that email/password combination across a range of websites, including AppleID. You should change your password for Apple now.