You mean… like Linux itself? The firewall is an inseparable, always running component of the kernel. Unlike with Windows,
(1) you never had to install anything.
A more convenient solution, better fitting the purpose, are namespaces and cgroups. Nowadays trivial to use with systemd:
Network Accounting and Control.
If you don’t require proper security,
(2) there are also various weak sandboxing tools: Bubblewrap or Firejail.
(1) Before Windows 10. While the component itself was present in Windows 6 (also 5.2, but only in its final years), it suffered major issues — including no proper ability to deal with outbound traffic.
(2) Which was also not provided by WindowsXP “firewalls”.