Hi, I had the same problem. Here is what I did to fix it.
When you have your iTunes library on an external drive, and you disconnect the drive before exiting iTunes, for example, you close the lid or sleep when on battery power, you can lose where the library is stored. You have to re-point to the external drive.
You do this by going to preferences (flower-comma, or Preferences under the iTunes menu) and choosing the Advanced tab. If the "iTunes Media folder location" box is empty, you have lost track of your library. Click on the "Change ..." button and navigate to the library you have on the external drive and click "Open" to set.
Note that you may have downloaded items to a new library on your hard drive which would have been automatically created if you were downloading any items while the media library location was blank, so you may be asked questions about rebuilding the library and do you want to copy media. Choose Yes for these questions.
Once all that is done, you should now be able to download media to the library on the external drive.
To prevent having to do this repeatedly, you should consider:
a) Go to iTunes download list and pause all downloads
b) Close iTunes
c) From Finder, eject the external drive
d) Sleep or shut down the computer
Good luck.