It’s their implementation of 3D Secure for online payments, which I think is based on a combination of heuristics and the merchant opting in/out. It’s a very good UX though, banks I’ve used in the past would ask you to enter some characters of your password on a weird looking 3D secure page.

This is their blog when they announced it: https://monzo.com/blog/2018/08/22/launching-3d-secure