xdebug.start_with_request = yes tells Xdebug to try to debug every single request/script. If Xdebug fails to connect to the debug client (it takes values from
xdebug.client_port) then it notifies you about that.
Normally such a messages will be written to the standard PHP's error log. Looks like you don't have it configured at all in your php.ini (because this is how it comes by default), therefore PHP sends it to your standard output instead.
If you want to prevent it from appearing on you terminal output you have to point the PHP error_log to a valid location.
Example of how I solved it in my case:
1- Edit your ini file:
sudo vi /etc/php/7.4/cli/php.ini
2- And add this line:
error_log = /var/www/log/php_error.log
NOTE: Change the previous routes according to your case.
3- Try again and the warning should disappear and now goes to the log file.