The first step is to contact Health.gov and/or your state Marketplace, and ask them about it. As TaxPro mentioned, perhaps somebody did buy it for you, or you may have otherwise not remembered not having it for a month or more.
If the Marketplace tells you that you did NOT have insurance, then respond to the IRS with that information. If the Marketplace tells you that you DID have insurance, you need to figure out why they have you listed for insurance.
