Time Machine asks for a new backup. Then do I lose my last backups?

The following message appears in Time Machine: "Time Machine completed a verification of your backups. To improve reliability, Time Machine must create a new backup for you.”.

Then if I choose to proceed with a new copy in my Time Capsule I lose all my last backups .... The new copy begins from scratch and once finished I can only access to the last and newest backup. Do I Really lost my last backups stored in my TC?? And if so ... What then is the utility of Time Machine and Time Capsule? What happened with my old versioned backups?? Is there any easy and logical solution, answer or explanation to this issue??

HELP PLEASE !! I can not see myself loosing months of versioned backups.

Thank you very much in advance !!!