OK, I see your logic - but I think it's not a good choice.

The trouble with an .exe - and especially an installer - is that any error or unforseen side-effect can be extremely inconvenient or possibly even damaging to the user.
How many times have you heard stories like, "I installed ABC, and XYZ stopped working"...?

This doesn't necessarily mean anything malicious, or even incompetent - it's just impossible to guarantee that your installer won't ever upset anything on any system.

And, of course, an .exe does carry this risk of viruses and other malware - which may not be detectable by scanning.

I think you'll find that this is precisely why most people, in fact, specifically avoid .exe files for source distribution - and use ZIP or similar instead.

And anyone who could make use of such source would, surely, be able to unzip it?