Firewall High Port Access

This is more of a question than a issue. I use Winscp FTP: TLS Explicit to connect to a DMZ server (that has Filezilla). When I try to connect to the DMZ server I connect and tries to retrieve directory but fails and states "Could not retrieve directory listing Can't open data connection." Looking firewall log on the DMZ server it shows me connect and then kicks me for attempting to access high ports. My questions is Winscp is working as expected it's FileZilla that's causing the firewall to kick me correct?