This is an expected behavior when the virtual machine is powered on.
To be able to copy the .vmdk file using the datastore browser, ensure that the virtual machine is powered off or shut down.
Connect to the ESXi host via the host UI and use the datastore browser on which the virtual machine resides on to copy the .vmdk file.
Alternatively, you can use a third party software, such as FileZilla or WinSCP, to copy the .vmdk file.