There is a limit to the amount of contacts you can export at one time. This is initially established when you sign up with Agility. Therefore you can only download a list if the number of selected contacts is within your number of exports allowed by your account.
We are able to assist with this error if you do come across it. All you have to do is be in touch with your Account Manager and they can increase the limit to your exporting. The limits that Agility offers are: 250, 1000, and 5000.