Why this alert exists
A messaging account is often the single biggest source of a person's private conversations, so most major apps notify you the moment a new device joins the account, precisely so an unauthorized login doesn't go unnoticed for long.
Ending a session doesn't require changing your phone number
Terminating a suspicious session logs that device out immediately without affecting your own active session or requiring a phone number change -- enabling two-step verification afterward is the more permanent fix if you suspect repeated attempts.
Frequently Asked Questions
Will I get this alert every time I log in myself, like on a new phone?
Yes -- the alert fires for any device the account hasn't used before, including your own new phone, so seeing it isn't automatically a sign of a problem.
What should I do right after ending a suspicious session?
Turn on two-step verification if you haven't already, since a stolen SMS code alone won't be enough to get back in once a PIN is required.