I would like to build exe file from my macOS machine. How is possible?

Solution 1: Milvintsiss

The short answer is no.

But you can build your app using a windows emulator or doing a windows dualboot with bootcamp.

There is also online services who let you build flutter projects from a github repo but I don't think they can build a windows app.

Solution 2: smorgan

Per the documentation:

To compile a desktop app, you must build the app on the targeted platform: build a Windows app on Windows, a macOS app on macOS, and a Linux app on Linux.

You can follow this issue to see if that changes in the future.