You can archive the installed files from Steam though. An example is the pixel art program Aseprite. The devs said just to copy the binary out of the Steam folder and place it elsewhere if you wish.

If you really want an installer, just pack the files into a self extracting archive. But IMO the loose files are easier to work with than an installer.

Or are you misunderstanding the fact that you can just copy/back up the Steam game and play it anywhere. That's why I say many people have that misconception about Steam games