One way to go would be to precisely change the email linked to the account, replacing it with a clean one that is not going to belong to any spam/hack lists around.
If you simply want to close the account, the procedure is described here:
https://help.coinbase.com/en/coinbase/managing-my-account/update-my-account/how-can-i-close-my-account
Thank you.
The bad guys now send another phishing text to your phone requesting that authentication code sent by the website. If you fall for this phishing attempt and text the authentication code back to the bad guys, they immediately enter that code, finalize the login for that target website and immediately change the password/security/phone numbers associated with that account. You are now locked out of your account and they have it for their use!
In addition to changing the e-mail and password on that exchange, you can also try to block the number from which these messages come from or turn off 2FA on the exchange.