Starting OSX 10.8 Mountain Lion, Apple introduced a feature called GateKeeper that will block softwares that are not downloaded through the Mac App Store or not being signed.
As of the current version, Gazelle has not been signed by Apple and therefore will be flagged by Apple's GateKeeper.

To run Gazelle, you should temporarily disable Apple GateKeeper :

  1. Go to Apple menu > System Preferences… > Security & Privacy > General tab
  2. Select Allow applications downloaded from to Anywhere
Apple explainations : http://support.apple.com/kb/HT5290