This is a well-known erroneous error message. The correct message should be something like "The maximum size of a file on a FAT32 filesystem is 4 GB".
You can change the filesystem to NTFS (either by the convert program, or by deleting and recreating the partition). That doesn't have this limitation.
I have video files on C drive. I bought a 1 TB WD external hard drive. I was not able to transfer videofiles from C drive to External hard drive. It says the file is too big for the file system.