macOS ships with default security permissions to only allow apps installed from the App Store. If your Mac has this restriction enabled, then you will not be able to install the downloaded installer package.
You might receive a warning like this:
If you receive a warning message that the installer package cannot be opened, you can right click on the Installer and choose "Open". Doing this will allow you the option to either open or cancel, from which you can choose Open.
To avoid this in the future, you can go into your System Preferences, choose Security & Privacy, and under the general tab, choose the option to allow apps downloaded from: Mac App Store and identified developers.