Try right clicking the app and hitting open? likely Sebastian isn't a "trusted" developer of Apple's, or at least didn't bother paying to have this game signed as such
It happens to me too, I've tried what you said but didn't work. I don't know if it has something to do with the newer updates in Mac because I've had (and to other people with Mac too) problems with other downloads too.
I neglected to notice a warning for Mac users on the download page that says to install the itch app and run it from there. That worked. It opened, but it does not run very smoothly at all. Still bummed.