Well, ignore it. I have opened an issue https://github.com/joyent/node/issues/793
Trying to run http://www.catonmat.net/http-proxy-in-nodejs
var http
You may be hitting your (default) maximum value of opened files in your operating system (for Linux it's 1024), especially if your are doing huge number of requests. For example in Linux you can increase this resource limit with ulimit command:
ulimit -n 8192