OK, I’ve downloaded a DMG, installed Julia, and indeed got the message from the system:
“julia” can’t be opened because Julia is not allowed to open documents in Terminal.
or
“julia” can’t be opened because Julia is not allowed to open documents in Terminal.
(got a different message on the second attempt).
BTW for a person looking for help, providing details like the exact message from OS improves the chances 
The issue is probably due to a known bug by Apple. There might be some workarounds, but I don’t see it being worth the trouble, juliaup being available. The bug exists only in relatively new versions of macOS, thus the DMG approach is probably usable on older installations.
@nurban surely you know Julia is not a person 
On a more serious note, Julia development and distribution is a free service to the community done without a backing by a Google, Microsoft, or like. There is no evil will, just chronically limited resources.
Still, in this case, at least a warning should be provided on the download page.