MacoOS - xyz is an app downloaded from the internet. Are you sure you want to open it? Alert

If you download any application from the internet and not from the macOS App Store, you will see an alert popup to warn you and be sure that you want to use the app. You will also see an sub-note stating where and when you downloaded the application. Apple will also check for malicious software and warn you if any detected.

As you can see I downloaded IntelliJ IDEA CE on my Macbook (M1 running Big Sur) from IntelliJ website, when I first opened the application I got the alert.