Yes, What you hear is something mysterious that
It is not only launching the malware but the .exe file is capable of bypass the mac security mechanism such as Gatekeeper.
Basically, EXE files format is an official and dedicated windows file format that wont be able to run on Linux, macOS, but if it tries to run on it then both OS will throw the error message.
In this case, new .EXE file routine evades the Gatekeeper protection on Mac because it checks only native Mac files but it will not checking the EXE and bypasses the signature detection and verification.
United Kingdom, Australia, Armenia, Luxembourg, South Africa
Bhaviour on Mac
Researchers found “Little Snitch” An installer of popular firewall
Once extracted the Zip File. Some of the Zipped .NET compiled Windows executable sample which contains a .DMG file hosting the installer for Little Snitch.
Later analysing the installer contents, researchers found the very unusual
Mono Bundle turn your Mono application into a Mac bundle, and you can also get a Mac installer for your application.
According to Trend Micro, “When the installer is executed, the main file also launched the executable as it is enabled by the mono framework included in the bundle. This framework allows the execution of Microsoft .NET applications across platforms such as OSX. “
Once the .DMG files are ready then it popup the adware that posed as a legitimate flash player installer and also PUAs displayed when the file is run.
This specific malicious .EXE file was tired attempt to execute in the windows machine but it displays the error.
“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. As for the native library differences between Windows and MacOS,