It seems that latest versions of GIMP graphics editors (uses .xcf files) support import of OpenEXR pictures (.exr) just fine, so the most convenient way to achieve this conversion would be to simply download the latest version of GIMP, it's free and available for all major desktop platforms.
Convert OpenEXR Image Format to GIMP XCF bitmap image.
We have found 7 software records in our database eligible for .exr to .xcf file format conversion.
Microsoft Windows software - convert exr to xcf on Windows
A free graphics and photo editor and authoring tool
Convert from exr file format
The tables with software actions are a good pointer for what a certain program does with various file types and often may give users a good hint how to perform certain file conversion, for example the above-mentioned exr to xcf. However, it is not perfect and sometimes can show results which are not really usable because of how certain programs work with files and the possible conversion is thus actually not possible at all.
A very popular free program used for work with 3D graphics
Apple macOS / Mac OS X software - convert exr to xcf on OS X
Mac version of the popular graphics editor
The Mac version of popular free 3D graphics software
Linux/Unix software - convert exr to xcf on Linux
GNU Image Manipulation Program
Easy-to-use 3D modeling utility
Multiplatform software - convert exr to xcf on any platform
Powerful image viewer and editor