I received a check from the retirement company, I didn't writhdraw this money

When you  have a 401(k) account with a former employer's plan, if your balance is below a certain amount the plan can close your account and send you a distribution for the balance, less 20% mandatory federal tax withholding.  This is allowed according to the 401(k) plan document.  You then have 60 days to roll those funds over into another 401(k) or an IRA.  If you do not, then the distribution becomes taxable, and unless you are age 55 or older, subject to a 10% early withdrawal penalty.  You will have to report the distribution on your tax return (enter the 1099-R) and If you did not roll the funds over, it will be taxable and possibly subject to the 10% penalty.