In some case, sometimes you need to use a windows based application ( exe/ msi) for doing some task.

Some of the software developers are just releasing their application for Windows OS only. The best way to protect yourself from being a victim to such malware is to avoid downloading apps, tools, and other files on your computers from torrent websites or any untrusted source.Not all software developer release their software for macOS. As for the native library differences between Windows and MacOS, the mono framework supports DLL mapping to support Windows-only dependencies to their MacOS counterparts.' 'In this case, however, the bundling of the files with the said framework becomes a workaround to bypass the systems given EXE is not a recognized binary executable by MacOS' security features. Normally, a mono framework installed in the system is required to compile or load executables and libraries,' researchers explained. 'Currently, running EXE on other platforms may have a bigger impact on non-Windows systems such as MacOS. Interestingly, the security researchers could not get the same malicious EXE file to run on Windows-attempting to run the file on Windows resulted in an error, which means that this malware has been designed to target macOS users specifically.

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How to open .exe files on mac