Please vote for this Idea! ;-) :
https://forum.mendix.com/link/space/studio%20pro/ideas/153
Hi Mahesh,
In default export to excel button, the file name cannot be changed.
Kindly use the module Excel Exporter to download the respective file.
https://marketplace.mendix.com/link/component/726/Mendix/Excel-exporter
After the java action which generated the file you can change the name of the file in Name attribute.
Hope it helps!!!