In the EAC, in the left navigation pane, select mail flow, and then select rules.
Select New (+), and then select Create a new rule.
In the New Rule window, select More options.
In the Name box, specify a name for the new rule.
Select the *Apply this rule if drop-down list, point to Any attachment, and then select File extension includes these words.
In the Specify words or phrases window, type the file name extension of any attachment that you want to block, and then select the plus symbol (+) to add the file name extension to the list. When the list is completed, select OK.
Select the Do the following drop-down list, point to Block the message, and then select Reject the message and include an explanation or select Delete the message without notifying anyone.
If it's required, add a statement to inform users who will receive the non-delivery report (NDR) of the reason that mail delivery failed, and then select OK.
Specify any additional options such as rule auditing and rule activation or deactivation time, and then select Save.
Reference:
https://docs.microsoft.com/en-us/exchange/troubleshoot/email-delivery/how-to-block-message-from-being-sent-or-received