I've been getting this since I installed vscode in Ubuntu 19.10 too. When I click on a link to my Downloads folder within the Gnome settings (Bluetooth settings) panel it opens up in vscode instead of my file manager. This appears to be due to an overzealous association of vscode with plain text and directory mime types.
I resolved this as follows:
sudo nano /usr/share/applications/code.desktop
Then comment out the following line by placing a hash in front
Then update the application database
Be warned that this change may need to be reapplied the next time you update vscode.