My bank tells me I don’t need to tell them, but if traveling outside Europe my first attempt to withdraw money from ATM doesn’t work but I get a text message almost immediately asking me to confirm the transaction request. I only have to reply Y or N. After that I have no further problems. This has happened on a number of occasions, but only in Asia.
It’s important that your bank has your mobile number for this confirmation request to work. On a recent trip abroad, I was able to withdraw money (after text confirmation) but husband wasn’t, even though it was same, joint account. When he contacted bank, it turned out they didn’t have his number on file.