Your phone's "location", as far as the internet is concerned, is the location at which your carrier enters the internet. That could be close to (or even at) the tower you're connected to, or it could be in another state. (There's a motel in northern Virginia, near Washington DC, that's "located" in the state of Ohio, as far as the internet is concerned. That's where the ISP they use connects to the internet.)
If that location, and the location your phone gets from its location service (cellphone towers plus GPS) are very different, you could be getting that notification. As long as the connection works, though, ignore it.