Jaime,
I would report this as a bug -- sometimes it works and sometimes it does not. It must depend on the data. If you avoid the text file, it works at any size (I tried up to 10,000,000). Use
d1 = RandomVariate[NormalDistribution[0, 1], 10000000];
Save["d1TEST", d1];
d2 = Get["d1TEST"];
\[ScriptCapitalD]1 = SmoothKernelDistribution[d2];
Or do binary read/writes to save space.
Regards,
Neil
