Hi Lion
First of all, thank you for supporting Cool Headed !
Well, unfortunately, I think this is due to GameMaker files being flagged as dangerous. I have also noticed that the game is available on cracked sites so maybe malicious things have been added there flagging it here as dangerous. Long story short, there is not a lot I can do on my side to mitigate this.
Are you using the itchio desktop application? There are good reason you might not want it, but if you are ok to have one more application on your desktop it is quite nice. With itchio app, -Cool Headed- will be updated on your computer without having to re-download it manually.
Thanks for reporting, I hope you enjoy the game, and please let met know if you notice other things that bother you.