Basically, If you are downloading it from third party providers, I wouldn't be surprised if it contained some form of malware. Keep in mind, that cheat engine allows you to manipulate processes and applications in various different ways, that are not all legal. Knowing that you might have done some system or mid level interactions that lead to the pop-up. If you downloaded it from an official source and you are certain that you know what you are doing, you could make an exception.
but the cheat engine is a virus thants the question every time ): ?
the way the program works is itself a piece of malware. that's why the AV picks it up regardless of where you get it. even a uninfected copy should still set off your AV software just by it's very nature. keygens and other hacks/cracks also set off AV simply by how they are written and what they do.
you're playing with fire with this type of stuff and in the end it is almost 100% guaranteed you will get burned eventually no matter how careful you are. the nature of the game you're playing. you're trying to cheat the system and are therefore not dealing with upstanding citizens. you should EXPECT to be taken advantage of by those same people who are offering to help you take advantage of others. no honor among thieves in any way shape or form on the internet