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?
no you cant change the key the best option would be to send the bitcoins to a new purse. but if theres a virus on your computer then you will have the same problem with the new purse, if you need somewhere to put the coins while you get it sorted then ask a trusted user who does escrow to hold them for you. this will atleast stop more coins being stolen
this is what id do
1. find someone to hold your coins while you get this sorted
2. run a full virus and malware check of your computer
3. disinfect computer to get rid of any viruses or malware
4. create new purse and get the person holding your coins to send them to your new purse
the thieves will have your key to your wallet no matter what you do that wallet is theres now