Visual Studio Code can't be opened because "Apple cannot check it for malicious software"

I have downloaded Visual Studio Code for the first time but I keep getting message below:

"Visual Studio Code" can't be opened because Apple cannot check it for malicious software.

This software needs to be updated. Contact the developer for more information.

My MacBook is up to date, and I even updated the latest version of VSC on their website (September 2019 (version 1.39); there is none for October) but it still gave me the same message.

Looking into their FAQ, I read about reinstalling VS Code. I did that but it still doesn't work.

macOS Catalina requires apps to be notarized by Apple. Your version of Visual Studio Code is yet to be updated by Microsoft for the new OS.

Please try the following:

Right-click on the app and select Open.

If this did not work, remove the quarantine extended attribute that’s set on the app:

1. Move the app to the Applications folder
2. Open Terminal.app, then paste and execute the following command:

xattr -d com.apple.quarantine /Applications/Visual\ Studio\ Code.app