Alexa Guard is a new feature in the Alexa app that allows you to check for suspicious activities even without connected security hardware. As explained on the official website, when you are heading out, simply say "Alexa, I'm leaving" to get alerts about suspicious activities.
For instance, Alexa can send you Smart Alerts if your connected Echo device detects the sound of smoke alarm or glass breaking. You can remotely check what is going on by playing the detected sound from the app. You can also use the feature to control compatible lights or security systems.
(With inputs from agencies.)