Empty excel file when "Open in Excel" from SQL analytics endpoint

I have a Lakehouse with several tables. I've opened SQL analytics endpoint view and launched a query from which I can see the results in the Results tab. I want to export these results to Excel, and I see the option "Open in Excel", where I first have to select the SELECT statement from which I want to export the result in Excel. I do it, then I click on Open in Excel, and I download a local Excel file that is empty when I open it.

Is there any option that I have to enable so that the content is exported and I don't download an empty excel?