This is an issue with newer versions of mac. Sometimes I've had to go so far as to download RenPy and open it through the engine itself to launch the game.
As a guideline, I would try launching the game as described above, then try downloading and launching the game through the itch.io application.
If none of those two options work, then you will need to download RenPy and launch the game from there. To see the game in RenPy, you will need to drag the game into the root folder of the engine.