EXE is the official executable file format used for Windows to signify that they only run on Windows platforms, and to serve as a security feature. By default, attempting to run an EXE file on a Mac or Linux OS will only show an error notification.

https://blog.trendmicro.com/trendlabs-security-intelligence/windows-app-runs-on-mac-downloads-info-stealer-and-adware/