As part of installation process, it ask for prerequisite downloads folder and for it ,I can either choose Download Required files (it will download from internet ) or Use previously downloaded files (download the files on any machine that has internet access and copy the files to your SCCM server). I choose download required files from internet as my server is has internet access.

In log Configmgrsetup.log

INFO: Downloading http://go.microsoft.com/fwlink/?LinkID=2057042 as Client_SVE.cab Configuration Manager Setup 17-04-2021 19:40:56 5392 (0x1510)

INFO: checking if there's an explicit proxy server. Configuration Manager Setup 17-04-2021 19:40:56 5392 (0x1510)

INFO: WinHttpQueryHeaders() in Download() returned OK (200) Configuration Manager Setup 17-04-2021 19:40:59 5392 (0x1510)

ERROR: WinHttpQueryHeaders -2 failed 80072f76 Configuration Manager Setup 17-04-2021 19:40:59 5392 (0x1510)

ERROR: Download() failed with 0x80072F76 Configuration Manager Setup 17-04-2021 19:40:59 5392 (0x1510)

In order to fix this ,we have to do some custom changes to Internet explorer settings to enable download file.

Open IE settings --> Security Tab --> Internet --> Goto Custom level --> Downloads --> file download --> select enable