Managing personal Outlook.com account settings, security, and privacy
This is unfortunately a common issue; I deal with it myself. It was explained to me that the message is the result of password spraying - enough bad login attempts with the wrong password generates this message. As I said, I deal with it routinely. Changing the password works for a short time and occasionally it is free all by itself. Sadly, checking your recent activity does no good as bad login attempts are no longer listed. I have 2FA enabled and use authenticator on my phone, which works, and I have a PIN setup on a second machine that always works, as will Windows Hello and Security Keys. If you setup Passwordless Login, that works, too. Using a login alias, as detailed on this page, should stop the issue:
https://www.outlook-tips.net/tips/keeping-hackers-microsoft-accounts/