If you formatted a flash drive with the exFAT file system on Windows and changed the default cluster size to optimize it for the type of files you will be using your flash drive for, you might have stumbled upon a Mac OS X compatibility issue.
Apparently, Mac OS X cannot properly mount an exFAT-formatted drive when the cluster size is bigger than 1024. So, if you want to use the drive without issues both on Windows and on Mac OS, so far there seems to be only one solution: format your drive with a cluster size no bigger than 1024.
This was tested on a fully-patched Mac OS X El Capitan install, so as of today, the issue still exists. Mac OS does not completely still support this file system, and the fact that Microsoft is keeping it effectively proprietary is certainly not helping.