This is (formerly) a bug in macOS, in 15.1. It's been fixed in 15.2. If you followed the terrible (and unnecessary) advice to disable System Integrity Protection and disable Gatekeeper, please re-enable them!
Fyi, this thread is full of misinformation. Even with the bug, it was possible to run non-signed applications without disabling important macOS security features, by providing an ad-hoc signature with the "codesign" command. Apple never locked out apps not approved by them. The bug didn't affect "anything not signed by Apple". Most so-called "unsigned" apps are signed with an ad-hoc signature by the developer, if they're not registered with Apple. The bug only affected a few apps with completely missing signature. Previously, it was possible to run such apps by going to the Privacy & Security settings, or by removing the quarantine attribute. The bug in 15.1 prevented that, but now it's possible again.