Here's what I did:
copied some files from server to my local computer
scp root@remotemachine:/var/log/nginx/* /home/me/logs
deleted the files on the server
The next moment I realized, that I forgot to create the target directory on the local machine (/home/me/logs). Now instead of copied files inside 'logs' I see a file called 'logs' that looks like gzip archive, but file-roller doesn't recognize it as a valid gzip archive.