Various antivirus software can report Salesforce(SF) URLs, which initiate a download such as the ApexDataLoader, as a virus. This occurs when accessed on a Sandbox. When accessed in a Production environment, it works fine.
Salesforce updates are applied to Sandboxes first. Therefore, some antivirus software may detect the URL and the app as unknown. It is flagged it as a virus.
Add exceptions to the antivirus software and browser.
Official SFDC response:
When in the middle of release time, many sandboxes are in preview mode with the new release active while the current version is what is found in production. Many times anti-virus programs tag installation software that has never been seen or is unfamiliar.
Salesforce Documentation: N/A