I ran into that problem a few times. Every time it was a bad floppy. The "unsplit" program is very basic. It doesn't have an initial record of how many files to expect, and if it can not read the complete "linux.004" file, it assumes that it needs the next numbered one (linux.005), even if it does not exist.
Try doing a "full format" on the floppies before using. If there are any bad sectors it will not work