When you unzip the zip folder, try 'The Unarchiver.app' instead of 'Archive utility'.
Or, try this: Go into your "System Preferences > Security & Privacy" settings and in the "General" tab, there's an option you can select:
Allow apps downloaded from:
Anywhere.
If you cannot save the file, please move Game app to another folder and restart it.
Please let me know if this solution doesn't work.