I think this is a common issue with games made from scratch as opposed to being made e.g. in a game engine. Something to do with lack of some signatures which confirm that a file is safe. However, I would expect such a game made like that to be an order of magnitude smaller, since I did something similar and both my Linux and Windows builds are way under 100 kB.
I ran this game in Wine (on Linux) and it does run without seeming to try anything suspicious (no unusually high CPU activity or RAM usage), but I am not sure how does it run on Windows, since I do not use it. I guess it is good to have some kind of a sandboxed environment for trying out random small exe files.