Quicken doesn't recognize QFX file
Quicken has to be not older than three years to import a QFX file. For example for year 2017, Quicken 2015 is the oldest Quicken that can import QFX files. For older Quicken versions, look for "to QIF" converters like CSV2QIF, Bank2QIF.
QFX files are Web Connect files, not QXF files. Import QFX files into Quicken through File->Import->Web Connect File under the main menu.