Most of these “rules” have limitations. Xenon is one of those exceptions. You may have heard of the octet rule. But you can see that even sulfur violates the octet rule. This is because sulfur has empty d orbitals and can keep more than 8 electrons. However, when you look at the molecular orbital theory, it’s not really the case.
Xenon is relatively large, and it also has some empty orbitals where it can keep more electrons. Without going into the molecular orbital theory, it’s difficult to explain everything. The relatively large radius of Xenon also allows to keep other atoms around it, due to less steric hindrance. This is why smaller noble gases like neon or argon doesn’t make compounds. Also, Xenon makes compounds with really electro negative atoms like fluorine. Fluorine is the most electronegative atom in the periodic table and it’s capable of pulling most electrons towards itself.