First, check that the download is a valid file - open it with a text editor, you should see it's a lot of xml that says "I'm a spreadsheet, here's some data"
If that file looks ok, then it's a setting in Excel - I've seen the "open files from the internet" flag mentioned a couple of times here, so I'd check that.
I can't replicate that here with JIRA downloads, and when it does kick in with others, I do get told what the problem is before it takes me to an empty sheet.
I got the answer how to solve it from Atlassian support and from someone from the user community - this workaround works for me:
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