Sometimes you download a precompiled application that is not notarized or signed, and the first time you run the system would show a warning about the impossibility to check for malicious software. This is since macOS 10.15 “Catalina” when Apple introduced new notarization requirements 1.
To fix, you can launch the app with right click (or CTRL click) on the app icon and choose the open action 2.
Alternatively, run the following command from the terminal:
xattr -r -d com.apple.quarantine "FULL PATH OF app"
Do make sure the application is safe to run!