There are likely a number of issues that can cause this problem. In my case, when first starting out, I kept getting this error when trying to download and debug a simple TouchGFX example for my STM32H734i-DK dev kit. The loader was wanting to load objects into external Flash, but there was no external loader for that device set in the Debug Configuration. If you scroll down in the window that is displayed under the Debugger tab of the configuration window, there is a checkbox for "External Loader." (Image below and also attached for full size) Initially the field may be blank, in which case you must click the Scan button on the right to populate the list. Then look for a match to your dev board and select it. Note that this may or may not be your problem, but it worked for me.
