The file was never finished being written
BGZF files (BAM, bgzipped VCF/FASTQ) end with a defined EOF block. Missing it means writing stopped early — a killed job, a full disk, an interrupted download, or a file read while still being written.
Treat the file as invalid rather than trying to repair it, and check why writing stopped — the job's own log usually shows a kill or an out-of-disk. If it was downloaded, verify the checksum; a truncated transfer is far more common than a corrupt source.