As per exception description:
Signals that an error occurred while attempting to connect a socket to a remote address and port. Typically, the remote host cannot be reached because of an intervening firewall, or if an intermediate router is down.
If it happens only under the load I can think of 2 possible cases (or combination):
Your system under test cannot handle that many concurrent users, the related application shuts down or becomes unresponsive and HTTP Request samplers cannot reach it.
- check system under test logs
- check whether it has enough headroom to operate in terms of CPU, RAM, etc. If you don't have better monitoring solutions you can use JMeter PerfMon Plugin
There is a router or switch which considers this traffic as anomaly and blocks the access.
You can also enable debug logging for JMeter's HttpComponents by adding the next line to log4j2.xml file:
<Logger name="org.apache.http" level="debug" />
and then take a look at jmeter.log file, it should contain more information from the network level