For this to work, you will need to obtain a copy of the SharePoint Client DLL (microsoft.sharepoint.client.dll).

On a server with SharePoint intalled:
SharePoint 2010: 14 hive
SharePoint 2013: 15 hive
SharePoint 2016: 16 hive
C:\Program Files\Common Files\Microsoft Shared\Web Server Extensions\

In Visual Studio, create a console application and name it Download_All_Files. Copy all the code below and paste it into your code window. Update site URLs and list name (Taco Storage).

Using this process, I was able to download 10,000 documents from a library. Took around 30 minutes to complete.

using System;
using System.IO;
using Microsoft.SharePoint.Client;

namespace Download_All_Files
{
    class Program
    {
        static void Main(string[] args)
        {
            // input YOUR URL below
            var site = new ClientContext("http://sharepoint/sites/somesite");
            var web = site.Web;
            site.Load(web);
            site.ExecuteQuery();
            // CHANGE THIS to your library name, get this from the Library Settings page
            List list = web.Lists.GetByTitle("Taco Storage");
            site.Load(list);
            site.ExecuteQuery();
            site.Load(list.RootFolder);
            site.ExecuteQuery();
            site.Load(list.RootFolder.Folders);
            site.ExecuteQuery();
            processFolderClientobj(list.RootFolder.ServerRelativeUrl);
            foreach (Folder folder in list.RootFolder.Folders)
            {
                processFolderClientobj(folder.ServerRelativeUrl);
            }
        }
        public static void processFolderClientobj(string folderURL)
        {
            // folder on your computer where all the files will be downloaded to
            string Destination = @"C:\\yourFolder";
            
            // input YOUR URL below
            var site = new ClientContext("http://sharepoint/sites/somesite");
            var web = site.Web;
            site.Load(web);
            site.ExecuteQuery();
            Folder folder = web.GetFolderByServerRelativeUrl(folderURL);
            site.Load(folder);
            site.ExecuteQuery();
            site.Load(folder.Files);
            site.ExecuteQuery();
            foreach (Microsoft.SharePoint.Client.File file in folder.Files)
            {
                string destinationfolder = Destination + "/" + folder.ServerRelativeUrl;
                Stream fs = Microsoft.SharePoint.Client.File.OpenBinaryDirect(site, file.ServerRelativeUrl).Stream;
                byte[] binary = ReadFully(fs);
                if (!Directory.Exists(destinationfolder))
                {
                    Directory.CreateDirectory(destinationfolder);
                }
                FileStream stream = new FileStream(destinationfolder + "/" + file.Name, FileMode.Create);
                BinaryWriter writer = new BinaryWriter(stream);
                writer.Write(binary);
                writer.Close();
            }
        }
        public static byte[] ReadFully(Stream input)
        {
            byte[] buffer = new byte[16 * 1024];
            using (MemoryStream ms = new MemoryStream())
            {
                int read;
                while ((read = input.Read(buffer, 0, buffer.Length)) > 0)
                {
                    ms.Write(buffer, 0, read);
                }
                return ms.ToArray();
            }
        }
    }
}