These are scam messages.
Sounds like you used Find My to Lock your phone. Whoever has it now – the criminal who stole it, or one of their fences, customers, etc. – has discovered that it is Activation Locked and useless to them. They are trying to get you to remove the phone from the list of devices associated with your Apple ID.
Don't do it! This will clear Activation Lock, and allow the criminals to make your phone their own.
Leave the phone locked, but on the list of your devices, so that it will remain a brick.
You may also wish to consider trying to remotely Erase it … and even reporting it to the phone companies. (They might blacklist it so it will never receive cellular voice/text/data service again.).
Note that blacklisting it would cut off one of its only possible means of connecting to the Internet (and thereby of receiving the Erase command, or of reporting its location via Find My).