The z= part is not required. The (-X.^2-Y.^2) part is not required either. However, as long as you have exp() you need to provide some argument to it.
For example, the following would be valid MATLAB code:
[x,y]=meshgrid(-2:.2:2);
x.*exp(-1);
However, it does not do anything useful.
I suspect that you are looking for something closer to
[x, y] = meshgrid(-2:.2:2);
z = x .* exp(-x.^2 - y.^2);
surf(x, y, z, 'edgecolor', 'none')
xlabel('x'); ylabel('y');
