Yes, the 1095-A is only for Marketplace insurance.
Your first step should be to contact the Healthcare Marketplace to verify that they did not cover you. If they confirm that you did not have insurance through the Marketplace, then respond to the IRS notice telling them that you did not have Marketplace insurance and called them to verify you did not have insurance through them.
If the Marketplace tells you that you DID have insurance, then you need to figure that out. For example, if you are under age 26, your parent's may have bought it for you. Or perhaps you had it in 2017 and they did not cancel your 2018 insurance in time, so they have you marked as being insurance for January.
