How do I delete “Mac Diagnosis Pro” app from my MacBook Air?

So I have this app on my Mac that I don’t remember downloading it’s named “Mac Diagnosis Pro”. When I click on it my Mac tells me it’s not safe and that I need to delete or it will damage my Mac. It also says that it will report the malware to apple but when I try to drag it to the trash it won’t delete. How should I delete it, or am I going to have to completely wipe all the data off my Mac?

[Re-Titled by Moderator]