Hi Harveer,
This is a macOS thing. Please try right-clicking the application and selecting "Open". (Yes, this makes a difference compared to double-clickinging...)
You should now have the option to open it anyway.
If not, your macOS install is still in a very strict mode where you can only install things through the App Store. You can change this by going to System Preferences -> Security & Privacy -> General, and select "App Store and identified developers" under "Allow apps downloaded from:".
Personally, I used a terminal command to get a third option there: "Anywhere". However, I won't post this command here now... But you can google for something like: "macOS allow apps downloaded from anywhere" and I'm sure you will find it.
Greetings,
Bootsy