Try to open the file, say ok to the ‘can’t check for malware’ prompt, go to settings, security, approve running the software.
Annoying, but if you’re delivering your app to semi-technical users, not really a problem.
There's some official documentation for this process: https://support.apple.com/en-gb/guide/mac-help/mh40616/mac (and this works ok for terminal stuff too! Though it looks like the process will always fail to run the very first time, meaning you can't obviously pre-approve its first launch)
It's only a problem if you want people to use your software