There is no free plugin on this (or I could not find one).
There are 2 undocumented hooks you need to work:
lost_password: Runs before the “retrieve your password by email” form is printed on the login screen.lostpassword_form: Runs at the end of the form used to retrieve a user’s password by email, to allow a plugin to supply extra fields.
Anyway, good idea for a new plugin, and I think that only selected administrators should get the emails.