GateKeeper will block files from opening that it thinks are command line apps.

I was trying to open in TextWrangler sample .ncx and .opf files that I had downloaded from an Amazon forum. The Mac saw them as command line apps, and when dragging them onto TextWrangler’s icon, I got an alert from GateKeeper. Since they’re files, the contextual menu “Open” command didn’t work. When I went into the Security preference pane to temporarily disable GateKeeper, I noticed that it had a message about the last thing that was prevented from opening, with a button to open anyway, and the file opened right away in TextWrangler. (Note that I didn’t try changing the “open in” app using Get Info, which may have worked also.)

Source: Mac OSX Hints