BigQuery - query returns undefined variable but it's okay in console

I'm playing with some dynamic sql like this:

DECLARE columns STRING;

SET columns = (
  SELECT
    STRING_AGG(CONCAT('COUNT(DISTINCT `', column_name, '`) AS ', column_name, '_count'))
  FROM dateset.INFORMATION_SCHEMA.COLUMNS
  WHERE
    table_name = "<name>"
  GROUP BY
    table_name
);

But when I highlight the whole code and execute I'm getting Undeclared variable: columns. Is it because it's sent as separate queries?