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It's because you copy phenominal 17 billion cells (17,179,869,184 to be precise). That is all cells in the specified sheet. Presumbly you do that in the belief that by using the data connection you can avoid "opening" the workbook. You do not see why you should "open" a workkbook while you want to extract data from a closed one. So, let's dwell on the action of "opening" a workbook for a moment.
A workbook consists of a string of 1s and 0s on a disk. That string has a beginning somewhere. "Opening" a file does not much more than assigning the disc address of that first byte to a variable. From there, by following the string, the end can be found and everything in between can be extracted by parsing it. Parsing is done in memory but Excel will only load those parts of a workbook into memory that it needs to access. At opening time that isn't specified.
You can see that using a data connection will not dispense with the need of either finding the file or parsing the parts that you want to access. Therefore your intention not to "open" the file is thoroughly thwarted. You can also see that "opening" the file, by any name, isn't such a fearfully big thing. Excel opens and closes files all the time - in fact, every XLSX workbook is a collection of zip-files in itself - and you don't even notice because Excel doesn't tell you as it opens, unzips and closes its files while you merrily punch the keyboard.
So, instead of venturing into big data territory with a data connection, why not stick with what VBA has provided for your purpose? Open the file invisibly, copy your worksheet, and close it again - all in a fast blink of an eye.
You can adapt this code to your requirements.
