I get those occasionally, but for other accounts. I change the p/w and it has never been a problem. It is for this reason that I keep my financial info online with as little a footprint as is possible.
Have you considered that maybe someone is signing into another account (in your name, maybe, and with your e-mail address) and it is not the FB account that you have been using for yourself? Unless, you get the same message IN your FB account. Do you know anybody with that particular phone? Could it be the Mrs, or the young'un? Years ago (like 15) I found myself being stalked on FB by an old acquaintance. I shut down the account completely. I spend very little time on FB. My current account has no photos and is under another name. But then, I only get onto FB once a month or so.
Don raises a good point. Assume it is phishing. Do NOT click on any links within the notification. If you want to change your p/w, go to FB yourself and make the change. The phishers are counting on the lazy people to not go to the sight themselves, but rather to sign in using the link provided. THEN they have your password for real.