That's just not what happens by default when you click on it, because that's not how you get 99% of software on Linux. So if you're doing it that way it's either because you know what you're doing, in which case you know what to do with the .deb, or you don't know what you're doing, in which case you ought not to be installing random binaries from the web.

All you have to do on Ubuntu is right click on it and choose "Open With Other Application" and then choose "Software Install". But that friction is intentional. It makes you pause and ask why that software isn't in the package manager. And then whether you really need a browser with a proprietary license and closed source components instead of using Firefox or installing Chromium, which is in the package manager.