I think what may have happened here is if you're working with a Virtual Private Network, Steam may have done a comparison check of the location based on the IP address requesting to connect to the host, and noticed that your usual locations from your previous login sessions did not match similarity between your current location; this is a powerful technique to preventing people from accessing your account based on password brute-force attacks or having even known your password if they are in another country where Steam do not expect you to be, having you not signed in from that location before - other companies like Google also have such functionality, where if your account is accessed from another suspicious location, you'll be notified about it right away and given additional details about the scenario.
If you do not work with any VPN services and you are the only person with physical access to your system, then there's a chance that someone tried to access your account and Steam found the activity suspicious and now wants some form of verification for the account to become accessible again, however I doubt this. I am not sure if they would even operate it like this, either... I don't really use Steam so I am just brainstorming different scenario explanations here.
I recommend you follow any instructions given to gain back access to your account and be sure to change your password - based on the screenshot you sent, it is genuinely the real Steam website and not a fake/phishing one. Remember to choose a strong password with a minimum of 8 characters, and mix in some capital letters and numbers to make guessing the password/brute-force attacks more difficult.
