Mac storage basics · Disks, APFS and formats
Why can't I copy a file larger than 4 GB to my USB drive?
Short answer: The drive is formatted MS-DOS (FAT32), which can't store files of 4 GB or more. Back it up and reformat as exFAT (Mac and Windows) or APFS (Mac only).
The drive is almost certainly formatted as MS-DOS (FAT32), which can't hold a single file of 4 GB or larger. Reformat it as exFAT (works with Mac and Windows) or APFS (Mac only) in Disk Utility — erasing deletes everything on it, so copy its contents off first.