Due to notarization requirements, currently you may face issue while opening Visual Studio code on MacOS Catalina. To resolve this, go to
System Preferences -> Security & Privacy. Click the lock to make changes -> Provide your password. You’ll get a notification at the bottom that the “App was blocked from opening because it is not from an identified developer”.
click ‘open anyway’.
Check the screen-shot below:
This would open Visual Studio code on your Mac.
Here is the Visual Studio Code Requirements Page:
Here is the Apple notarising documentation: