Jonathan is correct
What it means is your phone knows that you use a password that is known to have been revealed to the Internet through some data breach.
It does not mean one of your accounts was involved, just that you have picked a password for some site that is already a known word to the hacker community
If you only ever used decent passwords like "ABDaIRkemIeSTRoboSpULEsquATiBlEV" and every site you use has a different password, and your phone told you that one had been involved in a breach then you'd be well advised not only to change it sharpish but carefully examine how they might have got it (virus on your PC? Compromise of their system and they don't store passwords salted and hashed)
If your phone is telling you you used "bbc123" for your player account and that was involved in a breach it's something you should change if you really care about the account it's on - eg if it's also your banking password, but it would be reasonable to assume that it wasn't necessarily your account or devices that were compromised
Consider using a password manager that generates good passwords and have just one decent master password for getting into - I like to use a line of lyrics from a song - length is more important than character variation