@OP: If you have an account in that website, is there any chance that you tried logging in in that site (deribit) and you mistakenly input a wrong credential or you input your password incorrectly in that site?, if you really did not tried logging on that site then, this is what I can think of about that failed attempt to log in your account in that website or possible reason why you received an email about the failed attempt.
1.) Someone is trying to log in your account purposely (someone might know your log in credentials in that site except your password).
2.) Someone is trying to log in different username (if logging in on that site is by username) or randomly logging in using email that he/she can see or think of because there is a case happen I know that they have almost the same gmail they used like this example, let's pretend that you're email is
example12@gmail.com and the other person's email that he/she is trying to log in on that site is
example21@gmail.com then when he/she is typing the email/gmail to log in his/her account but mistakenly type his/her email to
example12@gmail.com which is the gmail that you are using instead of typing his/her correct email that this person used to log in on that site then you'll get or received a mail about your account's failed attempt to log in.
3.) The exchange site/website that you mentioned might be attacked by an attacker or the site is almost hacked by this hacker.
My decision on what to do/my prevention about the failed attempt or plan to do even if you have set up your 2FA in that exchange site is I still don't think that it's safe is because if the attacker/hacker successfully attacked/hacked the exchange site then the attacker/hacker have access to the accounts information in the site so, I will decide to do it right away to keep my account safe and secured as far as I can by doing this tip to your account as soon as possible.
1.) If registering in deribit exchange site will required you to input your email/gmail to register then you should exchange your password quickly or as soon as possible.
2.) If your account in deribit exchange password is the same as your email then you should also change it's password.
3.) This is the best solution to do for keeping your account that you use in any website that you have an account is by changing all your account's password daily or weekly in every site that you have an account but make sure that you save a back up of every new password you'll use in which there is a program that you can install in your computer where there are different "Password Manager" that you can use.
For now, change your password right away.