OK yes I understand better now. I never realized that other browsers apparently don't offer the "open with default application" option in the download dialog, like Opera does.

And actually quite some other applications do this (open as a temporary file) as well, it's a very common pattern: 7-Zip, FileZilla, to name a few.

And even if you didn't, there's always a temp directory that gets cleaned next reboot. Though I agree, the browser should take care of this, like most apps.