Mailing list data cannot be opened via the UI
This article describes what to do when an excel file with all data of a mailing list cannot be opened via the user interface, which seems to imply that it cannot be downloaded at all. A workaround is nonetheless available. The problem mostly occurs with mailing lists that contain data of more than 1500 persons.
Go to CRM > Contact > Groups/Mailinglists. Right-click on the mailing list and select export.
After completing this process, the excel file can be obtained under 'Active Jobs'.