Welcome to Android Central! Does this happen on both wi-fi and mobile data? Does it appear in the notification bar, or in the middle of the screen as a "toast" notification?
That screenshot doesn't show that wi-fi is connected, though -- only mobile data.
It can be hard to pinpoint which app is responsible for a message like this. It might be the system trying to update a language pack, perhaps for text-to-speech.
If you install greenify, it can tell you what apps and system apps are running in the background.... From there you could play around and "greenify" suspected apps until the problem goes away...