Usually, we call proteins macromolecules. You can call them polymers but that is not 100% correct.
The reason is that
When we say polymers, we say the materials or the formula contains the same repeating units. It means that each repeating unit should have the same chemical formula, like polyethylene, polypropylene, etc.
Whereas, when we say macromolecules we actually mean that the materials contain the same building blocks, the building blocks are similar, but not exactly the same. Like DNA strands and proteins. For DNA strands, each building block (repeating units ) is similar but different by the four bases. For proteins, each unit is an amino acid. For natural amino acid, there are around 20 types. They are similar but different in R groups.
The definitions of macromolecules and polymers are given by IUPAC. This is not a strict law in daily life but people in academia usually follow that.