No, this will not change anything. If someone indeed stole your private key you have to use a different wallet. But first you should figure out how the attacker got your data in the first place. If your computer is indeed infected and you make a new wallet, it might not be safe.
But I go into my purse, I changed the password and set a two-factor authentication.
Can not I change the key if the thieves, finding out the password could?