Downloading all COI sequences from BOLD fails
A straightforward way of getting the sequences from GenBank is from their website using this URL:
https://www.ncbi.nlm.nih.gov/nuccore?term=COI[Gene Name]

There you can click on "Send to" -> select "Gene Features" and "FASTA Nucleotide" -> Click "Create File".

There are >3 mio hits, so the download could take a while.