Viruses

No, all such messages are scams. Never, never, never download anything based on such messages.

Recognize and avoid phishing messages, phony support calls, and other scams - Apple Support

It's a scam. The vendor of the VPN wants to you spend money on their useless app. And VPNs have nothing to do with anti-malware to start with.

There's been more than one such scam, always prompting the user to purchase a specific VPN from the App Store. Was yours asking the same thing? If so, which one? It should be reported for removal.