Check out the prevent anons from downloading files and the secure media site setting, they may be what you want. Specifically the secure uploads site setting. Explainers on each site setting:
prevent anons from downloading files:
Prevent anonymous users from downloading attachments. WARNING: this will prevent any non-image site assets posted as attachments from working.
secure media:
Limits access to ALL uploads (images, video, audio, text, pdfs, zips, and others). If “login required” is enabled, only logged-in users can access uploads. Otherwise, access will be limited only for media uploads in private messages and private categories. WARNING: This setting is complex and requires deep administrative understanding. See the secure media topic on Meta for details.