Are you using latest version ?
macOS Catalina [4.9.37]:
"3DCoat" for macOS has been signed and notarized with Apple. Ensure to check "System Preferences > Security & Privacy > General > click the "lock" > select "App Store and identified developers". When only the "App Store" is selected an error message is displayed "3DCoat-4.9.xx.dmg" can't be opened because it was not downloaded from the App Store. Your security preferences allow installation of only apps from the App Store.