Edit: This can also happen because file permissions for the binary is incorrect. You can solve this by running
chmod +x /path/to/Application.app/Contents/MacOS/Godot in a terminal to make the binary inside the .app bundle executable.
Edit 2: I made a website just for this, https://disable-gatekeeper.github.io/ :)
This happens because the application is unsigned. Unfortunately, I doubt it will ever be signed as Apple requires paying a significant amount of money and spending time setting up notarization.
You can right-click the application in FInder then choose Open. Click Open Anyway in the confirmation dialog that appears.
Using a terminal, you can also bypass Gatekeeper this way:
xattr -d com.apple.quarantine /path/to/Application.app
I don't know if it still works on macOS 10.15 though.