Windows Defender security messages while playing games..

This past week, while playing Chrystal Collapse, I received 4 Windows Defender security messages.
During the middle of a game, a Windows Defender screen came on over my game screen warning me of a possible security breach. I never click on anything like this, but simply close down the computer and restart it. I’m very concerned about this situation. And you should be too.
Never click on any screen like that. Close down. Restart and run a security check after doing that. Right now, I don’t feel safe playing these games as I never get these security messages from any other website I use.