Have you tried to extract and double click the executable? As Unity says, it should work for Windows, Mac and Linux. I´ve tested in Windows and Linux, the same executable, and it worked. Anyway, you can play in the browser now too.
I would be surprised if the build for Windows and Linux were the same. If you can run the Windows exe file on Linux, that would be courtesy of having Wine installed, so there would be some sort of Windows-emulation underneath.
OTOH making a real native Mac and Linux build isn't hard either, just install the modules for it (if you haven't done so already), and then switch between the target platforms in the build settings dialog.