I use PostgreSQL 9.4.1
My query:
copy(select * from city) to \'C:\\\\temp\\\\city.csv\'
copy(select * from city) to E\'C:\\\\temp\\\\city.csv\'
As with this case, it seems likely that you are attempting to use copy from a computer other than the one which hosts your database. copy does I/O from the database host machine's local file system only. If you have access to that filesystem, you can adjust your attempt accordingly. Otherwise, you can use the \copy command in psql.