@Dnyaneshwar Jagtap, Thanks for posting in Q&A. For windows device, I didn't find the policy in Intune to block download in Teams. But I find you can configure access setting to block the download.
https://cloudbuild.co.uk/prevent-users-from-downloading-files-from-microsoft-teams-channel/ https://mymetaverseday.com/2021/05/28/sharing-2/
Note: Non-Microsoft link, just for the reference.
For mobile devices, you can try App protection policy and set Save copies of org data as block to see if it can block the download in Teams.
https://learn.microsoft.com/en-us/mem/intune/apps/app-protection-policy-settings-android
https://learn.microsoft.com/en-us/mem/intune/apps/app-protection-policy-settings-ios
Hope the above information can help.
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