I just tried this again while watching closely and to the best of my observation, the error was thrown as the amount of data transferred passed the 4GB mark (300MB left to transfer of a 4.3GB file).
Of course, the external drive is formatted as FAT (according to Disk Utility) although I suspect it is actually FAT32. I'm no expert on the characteristics of file systems, but I think I remember something about a 4GB file size limit for some windows file systems.