For very large mail merges, it may take some time to complete the action. While the mail merge is being processed, it goes into the Mail Merge Queue. If you have a large mail merge, you will receive a message that the mail merge is in the queue. Once executed, you will receive an email when it is ready to download.
All the mail merges that go into the queue can be found in Workspace>Reports>Mail Merge Queue. Once the mail merge has been executed you can download it by clicking on View in the Link column.