Happens to me every time. AFAIK it is 'normal', and yes, I think it is a security measure with an unknown binary file type.
Just have to go to Command/Apple 'I' keys to 'get info' on the file. It opens a window where you see the file properties an then untick the box that says 'locked'.

You can do it just as easily with a two fingered tap on the trackpad (equivalent to 'right click' on a mouse), then 'get info' to open the file properties etc.