Do you store the zipped file in the default FileDocument entity? If this is the case, try to create a new entity in your own domain model, inheriting from FileDocument. Make sure to use this new entity to store the zip result into, instead of the FileDocument entity. Now you can configure your own entity access rules (for this new zip result entity), which should prevent this error from happening.
See https://docs.mendix.com/howto/data-models/working-with-images-and-files#4-file-documents for more information.
Hope this helps!
Does the created file have a (file)name? In my experience it's what Allard says, a security issue, or a missing filename.