Add an App and give it permissions to access Downloads in Catalina
I have the same error and I find the reason here.

The reason is your Octave 3.8.0 is too old for your OS Catalina, you should download a new version of Octave(4.4.1 or 5.1.0). You can download the new version:
https://wiki.octave.org/Octave_for_macOS.