Geth, like any other Ethereum client, needs to use your network to connect with peers and share details about the latest block, pending transactions, etc...
It makes sense that Geth would adjust your firewall settings to make sure that it has outward network access, and this alone should not leave you concerned about malicious activity.
Additionally, the second part of your error message:
Intrusion Prevention is monitoring network traffic.
This is a feature of Norton Internet Security that continues to monitor the network traffic of this connection to catch and detect any attack patterns which could exploit your system. This is in itself not an error, but simply telling you that your anti-virus software is continuing to do its job on this opened connection.
Assuming you downloaded Geth from an official source, you should feel safe to install it.