The default installer for MSYS2 is quite large (~70 MiB) as it bundles a lot of packages that you might or might not need.
On the other hand, there are installers for customized MSYS2 environments like the Git for Windows SDK or the RubyInstaller2 that install packages at the time the installer is run by executing pacman.
The MSYS2 Online Installer project follows the approach of the latter two, but is more generic by only bundling the very minimum to be able to run pacman, and then allowing to install sets of packages by chosing from presets.