I don't want to change my Apple ID Password. But Apple are forcing me to.

They did the same thing to me earlier this year; I realized that although I was quite happy with my password, Apple was not. And, since the scammers out there are getting bolder and better at trying to get to your information to rip you off, I finally - and grudgingly - agreed and changed my password. I also had to add/create answers for the security questions (which, occasionally, I am now actually asked for intermittently).

For your account/private information's sake, change your password (and make it difficult). Better safe than not.

Thanks ChitlinsCC
But you're missing the point.

I know why Apple thinks it's better to lock the account... I'm asking that they don't.
Rather send a message to the Apple ID master email address saying "XYZ computer, which could be in ABC country, could be trying to gain access to your account". Give the user the opportunity to say it's OK, before locking the account.

Hi Deggie.
iCloud locked my out... my iPhone & Mac both could not use any Apple app without updating the password.
Nothing Phishi about it. It wasn't done via email.
I still don't know why Apple would think there is a threat on my account though.

Someone may be trying to access your Apple ID - someone you know, perhaps

"If you or someone else enters your password, security questions, or other account information incorrectly too many times, your Apple ID automatically locks to protect your security and you can't sign in to any Apple services. You can unlock your Apple ID after you verify your identity."

If your Apple ID is locked - Apple Support

I am not missing the point 😐 -- but Apple is never going to allow this feature to be disabled - this would be the "key" to the castle for nefarious creatures

Your email address is half of the credentials required to even make the attempt(s). If some critter is bothering you with repeated attempts, Change your Apple ID - Apple Support

What to do after you change your Apple ID email address or password - Apple Support

Are you sure that Apple asked you to change your password? There are lots of phishing scams out there that send what look like genuine letters from Apple with a link to change your password with a threat to disable your account. Those are not from Apple.