Link broken on desktop but work on nautilus file manger

I created a shortcut to a text file called "imp" on right-clicking it from the default file manager everything works well. But on clicking it on the desktop I get this

Any Idea why?

Remove the executable mode from it by:

right-click > Properties > Permissions tab > Uncheck "Allow executing file as program"

It may be possible that you need to log out / log back in for the change to take effect.

One factor to why this may have behaved differently in Nautilus, is a relevant Nautilus setting:

Nautilus hamburger menu icon
  > Preferences
    > Behavior tab
      > Executable text files section
          [ Display them | Run them | Ask what to do ]

The default option is "Display them". This may be the reason the executable mode did not cause this surprise when clicked within Nautilus.