Thanks, if you right click > Open, (Or hold Control and click > Open). Does it open then?
Likewise, in System Preferences > Security and Privacy > General, do you see any app asking you to select, “Allow”?
You may also try moving the file to another location or right click > Open With and see what other apps will open it.
It sounds like you downloaded it from a legit web site, but if not, this may also happen, and the download may install some type of adware, although I’m sure that’s probably not the case. Let me know how it goes!
Here are some cool articles as well:
Safely open apps on your Mac:
https://support.apple.com/en-us/HT202491
Open a Mac app from an unidentified developer:
https://support.apple.com/guide/mac-help/open-a-mac-app-from-an-unidentified-developer-mh40616/mac
That said, also does the same happen to other downloaded files/file types or even if downloaded from another browser?
Thanks! Those answers may help to find the cause! Here’s another helpful article though, related or not:
Change Security & Privacy General preferences on Mac:
https://support.apple.com/guide/mac-help/change-security-privacy-general-preferences-mh11784/mac