It's not possible to directly copy error files but you should be able to do it with a couple of steps:
Using the Error List report create a text file with just the file paths.
Run a search to load just those files by pointing to the error list file by prefixing the file with an equal sign, e.g.
Look In: =e:\errorlist.txt
After running the search you should now be able to use Bulk Copy to copy those files to another location.