Cancel and close the window. DO NOT SCAN. It's a scam, spam malware con.
Ignore it.
Your Mac will be safe as long as you have your Firewall turned on.
This should be on by default anyway.
To check that it's on, close your web browser and then open the System Preferences and click on the Security & Privacy icon and then click on the Firewall tab.
To make it even more secure go into Firewall Options and turn on the Stealth Mode by ticking the box to enable this.
If there is a serious virus going about, Apple will release a Security Update via the Software Update feature in the App Store Notifications in due course.