You have to use the following code:
<?php
use Phalcon\Mvc\Micro,
    Phalcon\Events\Manager as EventsManager;
//Create a events manager
$eventManager = new EventsManager();
//Listen all the application events
$eventManager->attach('micro', function($event, $app) {
    if ($event->getType() == 'beforeExecuteRoute') {
        if ($app->session->get('auth') == false) {
            $app->flashSession->error("The user isn't authenticated");
            $app->response->redirect("/")->sendHeaders();
            //Return (false) stop the operation
            return false;
        }
    }
});
$app = new Micro();
//Bind the events manager to the app
$app->setEventsManager($eventManager);
https://docs.phalcon.io/en/latest/reference/micro.html#micro-application-events