The ENOSPC ("No space left on device") error will be triggered in any situation in which the data or the metadata associated with an I/O operation can't be written down anywhere because of lack of space. This doesn't always mean disk space – it could mean physical disk space, logical space (e.g. maximum file length), space in a certain data structure or address space. For example you can get it if there isn't space in the directory table (vfat) or there aren't any inodes left. It roughly means “I can't find where to write this down”.
Particularly in Python, this can happen on any write I/O operation. It can happen during f.write, but it can also happen on open, on f.flush and even on f.close. Where it happened provides a vital clue for the reason that it did – if it happened on open there wasn't enough space to write the metadata for the entry, if it happened during f.write, f.flush or f.close there wasn't enough disk space left or you've exceeded the maximum file size.
If the filesystem in the given directory is vfat you'd hit the maximum file limit at about the same time that you did. The limit is supposed to be 2^16 directory entries, but if I recall correctly some other factors can affect it (e.g. some files require more than one entry).
It would be best to avoid creating so many files in a directory. Few filesystems handle so many directory entries with ease. Unless you're certain that your filesystem deals well with many files in a directory, you can consider another strategy (e.g. create more directories).
P.S. Also do not trust the remaining disk space – some file systems reserve some space for root and others miscalculate the free space and give you a number that just isn't true.