Should I worry? "Steam account - Forgotten password‏"

If you didn't do this yourself, it might be a hijack attempt.

This doesnt look like a official mail of Valve i think, do a virus scan just to be safe and delete the email

P.s. Change the password

Enable Steam Guard,
Change Steam Password,
Change Email Account Password

also change your email password.

Isn't that the text Steamguard is sending you when you access Steam from a new device or changed your IP adress?

What's the sender's address?

Like everyone else said just change your passwords up. Don't follow any links you don't know are safe. Most of these attempts are easily thwarted if you are careful.

And no, I have not clicked any phishing links.

If you didn't attempt to reset your password, that means someone is trying to gain access to your account via a password reset. Yes, that is a reason to be concerned, but typically once you change your passwords, there is little reason to worry afterwards because the people who do that are looking for easy targets who lack Steamguard.

It's always best to not click links in emails and manually go to the pages you know are safe that they are saying if you know that webpage is safe.

If you haven't sent request for it don't do anything not even change current password if you don't have problems loging into account.