I downloaded a malware scan from the App Store by utilities and ran a full scan. It said 0 virus detected.
I'm sorry to hear that. Due to the technical restrictions imposed by the App Store, it is impossible to have a fully functional security app. Any such app should be considered as more "entertainment" than true security. I strongly suggest that you remove it. Apple's macOS operating system already includes several levels of built-in malware protection. Apple is still working on ways to protect users from scam web sites, which is probably what you encountered. If you do want to install additional 3rd party security software, please see tjk's recommendation for MalwareBytes above.
But even now when I log onto say Facebook, I receive a message from Apple that it looks like this device was infected with malicious content, if you are sure you have scanned your computer and deleted all viruses then proceed logging in.
Is this a pop-up or an ad in Facebook? Can you post a screenshot with any personal items obscured? Use Apple's Preview app to draw black boxes over any personal areas.
There are two possibilities:
1) This was just a web scam. These can come via "grey market" web sites or even ads on full legitimate web sites. Once you trigger one, they will pull all kinds of personal information about you into their global advertising network. Facebook also uses that same network. It is entirely possible that Facebook is serving you an ad for some scam app. There are many such apps.
2) You actually did install some kind of malware, adware, or scamware. There is a lot of that on the internet. You can install MalwareBytes as instructed above. If you decide to remove MalwareBytes, just make sure to use the included uninstaller. You cannot remove it manually.
Another option would be a little diagnostic program I wrote to help show what adware is installed. Download EtreCheck from https://www.etrecheck.com, run it, and paste the results here. EtreCheck is perfectly safe to run, does not ask for your password to install, and is signed with my Apple Developer ID. When you are done, EtreCheck can be thrown in the trash.
If adware is installed, EtreCheck will help you remove it, although you may have to supply a password. If you aren’t comfortable with that, just post the EtreCheck report here and other helpers can tell you exactly what files need to be deleted and how to do so.
Disclaimer: Although EtreCheck is free, there are other links on my site that could give me some form of compensation, financial or otherwise.