First, It is proper Netiquette to refrain from attaching files that run programs. So, don’t attach. Given, could be harmful.
File Netiquette For Email
And so, files that end in the extension .exe are executable. Next, runs when opened. They contain software programs. Executable programs are a security risk.
Most messaging systems block files that run programs. Antivirus software blocks executable files. In general email may allow it, but antivirus software may block it. Most viruses are spread by attaching executable files.
No files that run programs as attachments because that is how viruses spread.