This requires more server-side resources, such as CPU, memory, file system, etc., and may cause issues on the end-user side. While typically the size of the file depends on the amount of data that is exported, when furnishing to domain-specific, the size of the data export will be larger in size than normal.
Microsoft SQL Server offers the ability to export data into CSV, Excel, PDF and other formats with the help of xp_cmdshell in T-SQL.