The total size of the files that you can copy to a FAT32 drive could be as large as 2TB (or the physical capacity of the drive, whichever is smaller), the size of each individual file may not exceed 4GB. This message means that your USB device is formated with the FAT32 file system which has a built-in limitation on the size of the files that it may contain.
The dialogue really says that the file is too large for the destination file system thus won’t copy your file to USB flash drive.
Did you ever try to copy some data to your USB flash drive and got an error message that says you can’t copy the data because file is too large for the destination file system, even though you have enough free space available on the device? How is this even possible and does it make you feel weird?