That’s not correct. macOS has a full-featured and quite powerful firewall, PF (https://en.wikipedia.org/wiki/PF_(firewall)),and some of the apps are just a GUI to control it. Murus for example; https://murusfirewall.com/.There is a Firewall in macOS, but it's not fantastic. You can use it to block incoming connections to an app, but I don't think you can use it to block outgoing connections.
Can you provide more specifics on exactly what you're trying to do.