Here is the documentation for installing the client: https://www.dynatrace.com/support/doc/appmon/insta...
I'm not exactly sure why you're receiving the error you are, it could be a few things, but some things to check. I noticed you're on Mac OS based on your directory path:
Supported Mac Versions for client:
The error message seems like it may be thrown from a permissions (or lack there of) issue with the area that it is trying to create the directories. Can you verify that location is writeable?
These may be some things to verify before looking into other things.