Give a default error message when login attempt failed.

functions.php

<?php

/**
 * Return a more abstract error message when an invalid password was entered but for a valid username.
 *
 * @param null|WP_User|WP_Error $user WP_User if the user is authenticated, WP_Error or null otherwise.
 */
add_filter( 'authenticate', function( $user ) {
	if ( is_wp_error( $user ) && 'incorrect_password' === $user->get_error_code() ) {
		$user = new WP_Error( 'authentication_failed', __( '<strong>ERROR</strong>: Invalid username, email address or incorrect password.' ) );
	}
	return $user;
}, 999, 1 );


/**
 * Return a more abstract error message for when invalid passwords, usernames, or emails are entered.
 *
 * @param null|WP_User|WP_Error $user WP_User if the user is authenticated, WP_Error or null otherwise.
 */
add_filter( 'authenticate', function( $user ) {
	if ( is_wp_error( $user ) && in_array( $user->get_error_code(), array( 'incorrect_password', 'invalid_email', 'invalid_username' ), true ) ) {
		$user = new WP_Error( 'authentication_failed', __( '<strong>ERROR</strong>: Invalid username, email address or incorrect password.' ) );
	}
	return $user;
}, 999, 1 );