Is there a way to create a lambda function which track all roles assumed by a user in the last 24 hours ?

Hi yes.

You can try leveraging CloudTrail to log API calls for assume role: https://docs.aws.amazon.com/IAM/latest/UserGuide/cloudtrail-integration.html

You can combine it with EventBridge rule, which then can trigger a an alert towards SNS, actually without need to use Lambda function.

Hope it helps ;)