It is possible that your drive is formatted as FAT32.
FAT32 is a file system type that has a limitation on the file size, which is 4 GB minus 1 byte.
Therefore, if you copy a file that is more than 4 Gb, it will not be possible to copy it.
As a solution, we suggest formatting the drive to NTFS or another system type, using another storage method, or splitting a file into several parts.
Note that on MacOS NTFS may be read-only.