Android – java.io.filenotfoundexception open failed eacces (permission denied) on device

The following code which consists of downloading a file from a server and save it in the storage works fine when the device has an internal storage.
But when I tried it with a device with no internal storage, only with external storage I get the following exception.

java.io.filenotfoundexception open failed eacces (permission denied)

public void downloadFile(String dlUrl, String dlName) {
    int count;

    HttpURLConnection con = null;
    InputStream is = null;
    FileOutputStream fos = null;

    try {
        URL url = new URL( dlUrl );
        con = (HttpURLConnection) url.openConnection();
        con.setDoInput(true);
        con.connect();

        is = url.openStream();
        String dir = Environment.getExternalStorageDirectory() + Util.DL_DIRECTORY;
        File file = new File( dir );
        if( !file.exists() ){
            file.mkdir();
        }

        Util.LOG_W(TAG, "Downloading: " + dlName + " ...");

        fos = new FileOutputStream(file + "/" +  dlName);
        byte data[] = new byte[1024];

        while( (count = is.read(data)) != -1 ){
            fos.write(data, 0, count);
        }

        Util.LOG_D(TAG, dlName + " Download Complete!");


    } catch (Exception e) {
        Util.LOG_E(TAG, "DOWNLOAD ERROR = " + e.toString() );
        bServiceDownloading = false;
    }
    finally{
        try {
            if( is != null)
                is.close();
            if( fos != null)
                fos.close();
            if( con != null)
                con.disconnect();
        } catch (Exception e) {
            Util.LOG_E(TAG, "CLOSE ERROR = " + e.toString() );
        }
    }
}

And in manifest file I has the following:

<uses-permission android:name="android.permission.WRITE_EXTERNAL_STORAGE"/>

Any suggestions what maybe the cause?
By the way Environment.getExternalStorageDirectory() returns /mnt/sdcard/ and file.mkdir() return false.