Welcome to firewall.cx, NSakthi. A couple of questions:
1. Have you set the Proxy server to "Transparent" mode?
2. Have you made any iptables-related changes to your /etc/rc.d/rc.local or rc.firewall files?
In the default installation when the Proxy is not operating in "Transparent" mode and when no iptables changes have been made, your FTP client will bypass the firewall.
By the way, IPCOP is currently at v1.4.10 so you may want to upgrade.
Get back with the answers and we will be able to help.