That is a legitimate warning that your email address and/or a lot of other information including passwords and personal information has been found in an online hackers' database, and has likely already been distributed.

If you get one of these emails, you should immediately change passwords on any sites where you have used this email, especially banking sites.

This is potentially a very serious issue and could lead to identity theft.

You should check any email addresses you use at their site, and change passwords ASAP for any email addresses found on the site.

https://haveibeenpwned.com/