Not sure, no one has reported that issue before. I haven't changed anything on my end, could be a connection issue or something itch.io is going through atm. Keep trying and let me know if it persists...
EDIT: You don't mean something like THIS popping up AFTER you download it, right? 
'Cause I just did a test download and even my computer warns me about running outside files ( even ones I make myself ) if it's that you can bypass it and everything should run ok.