Recently, while trying to extract data from WorkBench, I ran into this error.

I had selected all the fields on the Lead object and the error was not obvious enough for me

Failed: InvalidBatch : Failed to process query: FUNCTIONALITY_NOT_ENABLED: Selecting compound data not supported in Bulk Query

After some trial and error what I found is you need to elliminate compond fields from your BulkAPI query like Addresss.

Once I eliminated Address as a field from the file, I was able to extract the file successfully.