ArcMap may run out of memory and fail when performing a Closest Facility analysis. This may occur if too many routes are computed with the Output Shape Type option set to True Shape.
When the closest facilities have been found for all incidents, the route geometries are assembled. This operation requires a lot of contiguous memory, especially when generating many routes.
This operation can be time consuming if performed manually. Consider performing this operation within a GeoProcessing script or an ArcObjects application.