Why can't my MacBook Air (Sonoma 14.5) open my Nikon Zf firmware update zip file

That file is not meant for your computer to read. It is meant for your camera to read. Even if it happened to be in an archive format that your Mac understood, you would not want to unpack it further on the Mac. The Mac is simply a means of getting the file from point A (Nikon's site) to point B (the camera).

Please follow the instructions on Nikon's support site and copy that file to the top-most directory of a memory card that you formatted in the camera. Making sure the camera is already turned off, transfer the card with the firmware update file to the camera. Turn the camera back on and proceed as Nikon's instructions indicate.

https://downloadcenter.nikonimglib.com/en/download/fw/530.html

Note that as long as you have that file on your Mac – say, in your Downloads folder – it doesn't matter if the Mac launched Archive Utility, and then refused to process the file any further.

I can think of at least one good reason why a Mac might try to process a downloaded file with a .bin extension. A Mac file can contain both a data fork and a resource fork. In the old days before Mac OS X, failing to preserve the resource fork was a sure way to destroy any application sent through a non-Mac system. So people came up with archive-like schemes, including one called MacBinary, to encode the data and resource forks into a single file that would survive transmission. Safari may have "thought" that a file with a ".bin" extension could be a MacBinary file that it could have Archive Utility helpfully unpack for you.

In this case, since the ".bin" file was meant for your camera, your Mac didn't recognize its format. But again – as long as the Mac didn't delete the file, you're still good to go.