This is not a Moodle problem. In Vimeo settings, you can tick a box to prevent video downloads.
From Vimeo’s help docs…
If you’d rather not have your videos be available for download, you can disable the option. Under Privacy Settings, we let our members specify whether they want to allow downloading. If you have disabled downloading, viewers won’t see the "Download" button on the video page.
You can disable downloads of your video by navigating to the video, selecting the Privacy option on the right side, and toggle off the Allow download switch at the top of the panel. The setting will automatically save.
To disable downloads of all your videos, go to the Upload
defaults tab of your account settings, uncheck the box next to "Download them" (under the "What can people do with your videos?" heading), check the box next to "Also apply to existing videos," and then hit the "Save" button.
For added protection against downloading, we also recommend enabling one of our privacy settings, such as protecting the video with a password or restricting embedding to specific sites (a feature available exclusively Vimeo Plus members and higher).