You downloaded a file and copied it to a pen drive/upload etc but it is not getting copied.
You may face this problem if:
Extend enterprise perimeter
The enterprise perimeter can be extended using the following steps :
Adding device/website to the boundary :
Note: After monitoring requests from similar pen drives, if the issue is a recurring one, ask the end user to raise a false positive from their desktop/laptop and then add device/website to the boundary
False positive remediation, enterprise perimeter