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I didn't get anything similar from them, and there's no notice on their site.
Are you sure it's not a scam? Did you follow any links in the mail?Edit - they do say that security keys are preferred over authenticator apps. But there's no notice, I didn't receive a mail, and there's no obvious reason they should know which authenticator you're using anyway.
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May have been on the cards for a while:
https://www.reddit.com/r/CoinBase/comments/aa3nqu/why_is_coinbase_in_my_authy_app/
I got an email today from Coinbase saying they are dropping support for Authy, (apparently due to concerns about phone porting attacks).
How would they even know I'm using Authy over, say, Google Authenticator?