This is most likely due to your export path residing outside of the var/ directory. If you recently upgraded to 1.5.1.0 or later, and previously used a path outside of var/ then this will no longer work. Since 1.5.1.0, Varien have started to restrict dataflow profiles for the type "Local Server" to the following specific directory/file masks:
array(
'export_xml' => 'var/export/*/*.xml',
'export_csv' => 'var/export/*/*.csv',
'import_xml' => 'var/import/*/*.xml',
'import_csv' => 'var/import/*/*.csv'
);
Your export files must now reside inside the var/export or one of the allowed subfolders, for example var/export/mydir/my.csv.
It can easily be overlooked, but you will now see the following help/hint in Magento Profile Wizard for the "Path:" field:
(For Type "Local Server" need to use relative path to Magento install var/export or var/import, e.g. var/export, var/import, var/export/some/dir, var/import/some/dir)
For a simple workaround to the issue, just delete the content that was entered into the "Filename:" field and then click "Save Profile" or "Save and Continue Edit". Magento will autopopulate the field and allow you to save the profile. When you run the profile to create the export, the file will be exported to the var/export directory with a filename of export_product.csv.
