Unable to remove a mounted DMG installer file from my MacBook Air's desktop

so after downloading chatgpt, i cant seem to eject the dmg installer file that can usually be removed after the software has been mounted to the hard drive. when i close cgpt, and try to eject, it ends up removing all the files and when reopening, it gives me the "application downloaded from internet" screen and then the installer reappears on my desktop. i tried to move it to documents or downloads to no avail... if anyone knows what to do please let me know

[Re-Titled by Moderator]