Trying to make an Attachment reminder using a RegEx, but the filter doesn't work
Mail rules are only applied to new messages in the inbox, not outgoing messages. I don't believe it is possible to have such functionality in Mail natively; you would need to create or install a plugin to do this. After some searching, it looks like there is a Mail plugin which does what you're looking for called Send Companion (free, with other paid features).

If you're running an older version of macOS (Tiger through Snow Leopard), Attachment Scanner (free) looks like it would do the trick.