That's unfortunate. Now, from what I read in the docs of my game engine (Godot 4), it states:
"macOS will run only applications that are signed and notarized"
But perhaps you could fix it by scrolling to the bottom of this webpage and following the instructions for the last case (running an unsigned app, the notification there might be the one you are getting):
Godot 4.2 Docs - Running Godot apps on macOS
https://docs.godotengine.org/en/stable/tutorials/export/running_on_macos.html#do...