Messages like this are only sent if the password was correct, AFAIK. (Google sends the message in part as a warning and in part to explain that no, your password wasn't wrong, they just don't think it was actually you.)
This was presumably not you, so change your password immediately.
Someone recently tried to use an application to sign in to your Google Account - xxx@gmail.com.
We prevented the sign-in attempt in case this was a hijacker trying to access your account.