I think that's true for a lot of people, because there's less effort involved in playing the game as well as reducing the possibility of encountering a bad actor embedding something malicious into an .exe.
But depending on the type of game that you're playing, an .exe makes more sense for the size and scope of the game. This is the case with the game I've made, and my intended audience for the game has been okay with that format as well. My game lasts approximately two hours for beginner players who engage with all of the game's NPCs, which is beyond the length a lot of players would expect from a browser-based game.