You apparently have two-factor authentication enabled. This will happen any time you or someone else tries to access your iCloud account/data. If you didn't sign into something right when before this popped up, then you should change your password.
Hi,
I'm having the same issue. I just turned on two-factor authentication and I've been receiving these login alerts.
Should I change my password? Also after changing the password do the alerts stop?
I had this happen too, I didn't sign in to any new devices (to my knowledge) and something popped up in the city I lived in, I hit don't allow the few times it happened and it has not returned
Keep in mind... if you have 2 Factor Authentication... you will always get the pop up when signing in to your iCloud Account... (except for Appstore/iTunes purchases from your trusted device)