Try with .loc :
.loc
df.loc[2000000:4000000].reset_index().to_feather("./myfeather.ftr")
You'll have to reset the indexes to save the datataframe to feather format. Works for me.
Save the required slice of the data to CSV df.to_csv(), load the data again from the CSV and then save to feather format. This method worked for me
df.to_csv()