BUG: Fixed concat warning message
- [x] closes #21101
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/21362?src=pr&el=h1) Report
> Merging [#21362](https://codecov.io/gh/pandas-dev/pandas/pull/21362?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/5bbbaf6ae48681699cfbdf8f4a726661118e0dcb?src=pr&el=desc) will **not change** coverage.
> The diff coverage is `n/a`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/21362/graphs/tree.svg?width=650&height=150&src=pr&token=eZ4WkYLtcO)](https://codecov.io/gh/pandas-dev/pandas/pull/21362?src=pr&el=tree)

```diff
@@           Coverage Diff           @@
##           master   #21362   +/-   ##
=======================================
  Coverage   91.85%   91.85%           
=======================================
  Files         153      153           
  Lines       49564    49564           
=======================================
  Hits        45527    45527           
  Misses       4037     4037
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.25% <ø> (ø)` | :arrow_up: |
| #single | `41.86% <ø> (ø)` | :arrow_up: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/21362?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/indexes/api.py](https://codecov.io/gh/pandas-dev/pandas/pull/21362/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhlcy9hcGkucHk=) | `98.92% <ø> (ø)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/21362?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/21362?src=pr&el=footer). Last update [5bbbaf6...51fffb0](https://codecov.io/gh/pandas-dev/pandas/pull/21362?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
