Why should I change my password when two factor authentication worked?

I have received texts, emails, and pop ups occasionally over the years that someone in Egypt or wherever is trying to log into something of mine and I should change my password. I know not to click on the link and go directly to the website instead.

Today I had a pop up on my iPhone asking if I was trying to log in from Saudi Arabia and there was an Allow/Don’t Allow option. It said if it wasn’t me, I should change my Apple ID password. They didn’t get in. All the security prompts and authentication prevented log in so why is it important to change my password?