An iPad using my email address
If the notice were a pop up, then someone knows your Apple ID and password and entered them into another device.

If it's an email, you will want to check first that it's from Apple and perhaps log into http://appleid.apple.com to check that your account is secured, perhaps changing the password if you feel that is warranted. If you do this, make sure you also change the password to your email, as someone could use that to reset your Apple ID password.

Basically, Apple wants to make sure you know every time you set up a new device with your Apple ID since if you didn't allow it, someone else will then have access to your messages, your apps, etc...

Worst case, you can contact Apple Support if you can't resolve this as they might have better advice specific to your situation and be able to assist in locking / recovering control of your account. Also, if you use the same password here as you use on any other account - they could be compromised as well so you might want to change any account that uses your email and that password going forward.