You haven't said what size your file(s) are, but another consideration might be that using lots of small files is often wasting considerable disk space, because of the granularity (block size) the filesystem uses for storing data.  Files smaller than the block size still need one block to be stored.

Say your 10000 files are 100 bytes each, then with a moderate block size of 4096, you'd be wasting around 97% of the disk space, compared to storing the data in one file — and even block sizes of 8K or 16K aren't unusual these days.  In other words, there are always trade-offs...