From Joel:
This one is actually an issue with all Steam games on OS X Maverick and Yosemite since Valve’s last Mac update. I was getting it whenever I launched TF2. One trick that fixes it for some people is:
Quit Steam,
Disable Steam’s access in System Preferences >> Security and Privacy >> Privacy >> Accessibility
Restart the computer
Run the game and it should prompt about Steam access, reenable Steam’s access
Quit Steam again
Rerun the game
Beyond that there are Terminal commands people can run to flush Steam from the Accessibility preferences, but I wouldn’t start there. After doing those first steps, I personally haven’t seen the pop-up message.