Hi Dinesh -
Actually, the most likely cause for this is the timeout. By default, the download operations have a 90 second timeout. If the blob hasn't completed downloading in that time, then this exception will be thrown.
Create a BlobRequestOptions object like this (this one results in a 10 minute timeout - you should choose a time based on expected download rates and acceptable wait times):
BlobRequestOptions options = new BlobRequestOptions();
options.Timeout = new TimeSpan(0, 10, 0);
And then pass it in to the Download method. Hope that helps - if you increase this time, and you get the exception above in less time than the timeout specified, then there may be something else going on.
-Jeff