I have deleted the reply from ‘hannahDEv’. That is not a real Dev or Support contributor, but a scammer trying to prey on you.
As KR mentioned up above:
If you did not consciously signal the transfer it may mean your account has been compromised; likely meaning you either went to a phishing site or approved a contract that transferred your GMX to another address.
Please go through your recent transactions, and make a mental note of the malicious link you clicked on. Avoid any similar situation in the future, and be vigilant. There is no GMX airdrop, or special GMX rewards, and the main GMX domain is at app.gmx.io - be wary of other URLs.