I was getting the same error too and I found this answer on another website:
'What Instagram should tell you is that you need to add your country's dialing code. For me in australia I'd enter +61xxxxxxxxxx. In America it would be +1 followed by your phone number. DO NOT ADD SPACES, BE SURE TO ADD THE +'
However, if you have already put your mobile number and you did so incorrectly, like I did, then all you need to do is log into instagram.com/developer from a NEW browser.
I initially was using Google Chrome, and I tried logging out then logging back, refreshing but each time still got the security code check. So I couldn't enter my mobile number in again.
I then tried logging in via Safari and surprisingly it gave me the mobile verification option, so I added my number in correctly this time and within a few seconds got my 'verification code'.
Hope that helps!