What kind of data is stored in the files? If it is structured data, it sounds like this information would be better stored in a database, rather than in all these files. That's what databases were created for -- store hundreds and thousands of records in an organized, optimized way for easy retrieval later.
Otherwise, you can easily have 1000 files in a directory without hurting performance. Grab the first 4 or 5 digits for your directory naming convention. That will make it easy to find the files when you need them. Don't make yourself traverse more than 1 directory if it's really not needed.