You will receive this prompt if

1. You have "formatOnSave" turned on as a setting
2. You selected autopep8 as your formatter
3. The Python extension can't find autopep8

So the options are:

1. Turn off formatting on save
2. Make sure you successfully installed autopep8 into your environment or you specified the path to autopep8 in your settings

My guess is there's an installation failure because you are using a globally installed interpreter and you're not allowed to install where pip wants to put autopep8.

pip install pep8   
pip install --upgrade autopep8

or

"python.formatting.provider": "autopep8"

I have also encountered this problem in my computer with Ubuntu 18.04. It turns out that the python extension need some settings. My solution is:

1. Go to Python extension's extension setting.
2. Find Python>Formatting:Autopep8 Path term
3. Add the full path of the autopep8 that you have installed.