Copprhead created the issue

Reproduction:

Log in to an FTP site. Upload a file from a local folder. Remove the remote file via other means (shell login at the server). Cyberduck naturally doesn't see this change without reloading. Now drag the remote file from Cyberduck window to the local folder in the finder. It will ask what you want to do because file exists. Choose overwrite. Local file then gets deleted but remote file cannot be downloaded because it doesn't exist on the server anymore.

Correct behaviour should be that the local file stays if the remote file cannot be downloaded, either by checking before deleting if the remote file really exists or by just renaming the local file and renaming it back if download fails.