Excel has a limit of 1,048,576 maximum rows it can add to a worksheet. An attempt to open any file larger than that in Excel will give an error message "File Not Loaded Completely" and it will only load the 1,048,576 row maximum.
The solution for this is to select "Chunked Output" during the download request which will provide the results of the report into 1 million row "chunks" in a .zip or .gzip folder.
This will allow you to open each of the "chunked" files in Excel with ease. There will be 1 file for every 1 million rows or less.