Have you checked your other Privacy settings under "Message Controls"? There are other categories, e.g. people with your phone number can contact you, people you've previously chatted with on Messenger, and friends of friends on Facebook (assuming you've linked your Facebook account).
If these check out yet you still got the message, and you still feel invested in the issue, you can probably send feedback to Instagram while reporting it as a security issue in a bug report (via https://help.instagram.com/381579045265733), and someone who works there could possibly look into this.
