It implies that you set up two-step verification on the account, and you will have received the key when you set it up : Two-step verification for Apple ID - Apple Support
If you've lost it :
Keep your Recovery Key in a secure place in your home, office, or other location. Consider printing more than one copy, so that you can keep your key in more than one place. Your key is easier to find if you ever need it, and you have a spare copy if one is ever lost or destroyed. You shouldn't store your Recovery Key on your device or computer, because that could give an unauthorized user instant access to your key.
If you ever need a new Recovery Key, you can create one from your Apple ID account page. Just sign in with your password and trusted device, go to the Security section and click Edit, then click Replace Lost Key.